YOUR SKILLS AND EXPERIENCES

• Multiple years of experience in financial markets as quantitative model developer, experience across industry of particular advantage
• Extensive analytical skills including a proficiency with mathematical statistics, financial mathematics, and derivative pricing (level corresponding to university degree Master or PhD in Quantitative Economics, Mathematics or comparable expected). Ability to work independently and flexibly within intra or inter-departmental groups but also ability to lead, manage and influence stakeholders/teams across different functions on large scale projects
• Practical experience with Market Risk modelling; direct practical experience with Historical Simulation and/or Monte Carlo based VaR models and experience with risk management with focus on banking book / treasury modelling will be considered as advantage
• Experience of hands-on development, ideally in Python, mathematical or statistical packages, and a desire to continue doing this on a regular basis
• Excellent writing and communication skills (English)

DETAILS OF THE ROLE AND HOW IT FITS INTO THE TEAM

Group Strategic Analytics is a quantitative profession path responsible for the detailed research, implementation, testing, calibration, and documentation of the Group’s risk management models. Work includes: • Preparation of documentation for new models and model changes • Performance of statistical analysis to develop risk models • Creation of detailed methodology documentation • Test model components to ensure they perform as intended and are appropriate for the intended business purpose • Perform on-going model performance reviews, including research into data quality, market data and mapping rules. Group Strategic Analytics role holders will either code the model algorithms themselves or specify the functional requirements for a third party to implement.

YOUR KEY RESPONSIBILITIES

• Within Market Risk Economic Capital team work on development and implementation of complex processes, frameworks, or risk analysis as well as model maintenance for economic capital in trading and banking book across the bank’s portfolios
• Management of large-scale projects (cross-divisionally/on an international scale) in line with the assigned tasks with focus to improve the risk capture and the understanding of the different business areas
• In cooperation with the asset class teams and business, develop, enhance, document, and implement complex quantitative models, enhancements, and processes changes to capture market and earning risk models
• Create and maintain strong relationships within the team but also across internal stakeholders across the bank
• Independently deal with internal audit & validation requests, support in dealing with external audit / regulations requests within assigned tasks