eFinancialCareers

• Company

  Carr Lyons Search and Selection

• Location

  UK-London

• Compensation

  Excellent

• Position Type

  Permanent

• Employment type

  Full time

• Updated

  20 Nov 2009

• eFC Ref no

  581701

Responsibilities:

Play a key role in the Portfolio Management Group to support credit and portfolio risk management activities, and the further development a an economic capital, risk adjusted performance measurement and more active credit portfolio management framework within the bank, in line with BIS II and best market practice.

Report Production - produce regular PMG reporting suite (credit risk management, economic capital consumption, portfolio analytics and stress testing) in a timely and accurate fashion, ensuring all updates to methodology and data treatment are incorporated, all reports are reconciled internally and to source data, and co-ordinate input of other team members where appropriate.

Report Content - assist in proactive improving the value-added of the PMG reporting suite by developing analytical content, and tailoring to target audience requirements.

Report Automation - streamline and automate production processes for portfolio analytics and reporting, showing reductions in both production time and manual intervention / error, and raise issues and co-ordinate with DEV team as appropriate

Economic Capital and Active CPM - assist in developing the bank's ACPM analytics and functionality, assist in monitoring of hedge and risk positions, assist in maintenance of Hedging and Stress testing documentation, undertake economic capital, portfolio analysis and scenario modelling as required to deadlines.

Stress Testing - participate in development of Pillar I and II stress testing analysis and reports, assist in maintenance of Stress Testing Policies & Procedures and associated documentation, participate in Capital Standards Group and related groups as necessary.

Documentation - produce and maintain procedural documentation for regular reporting, portfolio analytics, stress testing and data processing to audit standard.

Data Management - liaise with DEV team to ensure accurate and consistent production of raw datasets, escalating issues and change requests as necessary, and participating in testing and implementation of updates to PIRATE (data transformation layer) and related toolkit.

PMG Toolkit - Liaise with DEV team and business to assist with specification, testing and implementation of PMG Toolkit - including R3D and bolt-ons to RWA (Insurance / Mitigation etc).

User Training and Support - Develop and maintain user training programme and associated documentation for R3D and other items of PMG toolkit, and provide front line support and query response for business users, undertaking supporting analysis and escalating issues as required.

Requirements:

Strong risk analytical skills in a banking background, with banking product knowledge.
Experience in portfolio risk analysis, using economic capital and risk adjusted performance methodology.
Knowledge of portfolio theory, default probability, LGD and correlation. 
Knowledge of relevant statistical and mathematical concepts.
Strong experience of modelling using Excel, Access and VBA.
Working knowledge of portfolio risk adjusted performance measurement tools such as CreditManager and KMV preferred.
Knowledge of BIS II concepts, requirements and RWA calculation preferred.
High level user of Excel, Access and VBA.
SQL knowledge an advantage.
Good mathematics, economics or finance degree (with mathematical content). 
Excellent written and oral communication skills.
Good IT and data management skills generally.  HTML / Java knowledge helpful.