Enterprise Market Risk Quantitative Analyst (IRRBB & CSRBB), AVP
London, England, United Kingdom
GBP 100K-120K (estimate) Executive-level Full Time
Tasks
- Analyze sensitivities behavioural assumptions scenario impacts attribution
- Assemble evidence data extracts and explanations for Model Risk Management and Internal Audit
- Collaborate with risk and treasury teams and communicate results
- Conduct EVE and NII modelling analytics
- Create technical documentation of model assumptions methodology configuration and limitations
- Diagnose model configuration data and scenario behaviour issues
- Enhance IRRBB and CSRBB methodologies
- Enhance risk factor modelling scenario design sensitivities and stress testing
- Ensure consistent analytics aligned with risk appetite and governance
- Perform market data analysis curve construction and spread analytics
- Prepare analysis for model risk review internal challenge and senior management committees
- Support cross book market risk modelling for banking book and trading book
Perks/Benefits
- Employee networks
- Flexible work/life support
- Inclusive development opportunities
- Paid volunteer days
Skills/Tech-stack
ALM | Credit Spread Risk | Credit Spread Risk in the Banking Book | Credit spread | Curve construction | Data analytics | EVE Modelling | Interest Rate | Interest Rate Risk | Interest Rate Risk in the Banking Book | Market Data | Market Risk | Market data analytics | Model Risk Management | Model risk | NII Modelling | Python | Quantitative Risk Management | Quantitative risk | R | Risk Factor Modelling | Risk Management | Scenario Analysis | Sensitivity Analysis | Stress Testing
Education
Roles
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