ICAAP Quantitative Risk Analyst

Frankfurt am Main, Hessen

ICAAP Quantitative Risk Analyst

Our client is a global financial services organisation for whom we are currently searching for an ICAAP Quantitative Risk Analyst

Location:             Frankfurt

Start:              asap

Duration:            12 Months

Task Description:

provide analytics and analyses to Risk Management and other partners across the company . The team develops credit, market, and counterparty risk analytics to consistently measure risk, optimize capital, dimension risk appetite, and allocate these metrics to businesses and geographies; as well as supporting Basel, internal and external stress testing, and loan loss reserve processes. This role will work on delivering stress testing related content for German legal vehicle ICAAP.

The core activities of this project include:

- variable expansion of regulatory and internal stress scenarios in collaboration with global modelling teams, ensuring applicable parameters of risk models are shocked appropriately for German legal vehicle portfolios;

- calculation of (predominantly credit risk related) stress losses for German legal vehicle portfolios (margin, commercial real estate, and export agency finance loans; residential mortgage and asset backed securities; and government securities) in collaboration with global modelling teams;

- incremental model testing and documentation, ensuring global models are appropriate for German legal vehicle portfolios; and

- documentation of quantitative results, providing insightful narrative on stress scenarios and losses, in ICAAP document.

- Adopting a Business Requirement Document (BRD) on the strategic ICAAP solution (IT build out etc.), based on an existing BRD. This will involve interaction with senior stakeholders in Germany in order to align the requirements, and discussion / negotiation with the global teams supposed to deliver the strategic solution

Required Skills

  • Strong ICAAP modeling background – Need to be able to understand all the modeling background on ICAAP for both market, credit, and counterparty credit risk

  • Strong communication and project management skills – ability to manage expectations from stakeholders, model risk management, and come up with a clear development plan

  • Graduate degree in Economics, Finance, or another quantitative field (Mathematics, Physics, Computer Science, etc.) is required

  • 7-10+ years of experience in financial services sector, in roles requiring superior problem solving analytical capabilities; must include experience across multiple risk stripes

  • Experience in developing macroeconomic/market stress scenarios (e.g. Okun’s Law); and familiarity with relevant regulatory guidance, including IFRS9 based ICAAP credit stress loss methodologies, impairment staging rules, minimum coverage ratios, etc.; are strongly preferred

Should you be interested in this opportunity please get in touch with your updated profile and contact details. 

We look forward to hearing from you.

 

Frankfurt am Main, Hessen
Negotiable
  1. Contract

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