Purpose of role

• The role will provide support to a range of change initiatives happening across the end-to-end credit process, in particular in support on the methodology and approach for the margining of different derivative transactions within the Private Bank business area.
• The successful candidate is expected to project manage multiple initiatives either sequentially or in parallel with others and to work closely with senior Credit Risk management, the Models & Methodology team, Collateral Evaluation, credit experts and the Risk IT development teams in middle office, communicate clearly with the front office, and advise on operational aspects of methodology.

Core accountabilities

The primary focus of the Quantitative Credit Risk Analyst is improvement, development and validation of the required risking methodology and approach for derivative transactions in all areas (FX, rates, credit derivatives, equity, and commodities). The main duties include:

• Reviewing and assessing the required initial margin to be applied at a trade by trade level basis;
• Quantifying credit exposures for structured or complex transactions;
• Reviewing new products risking methodologies (examples include interest rate swaps);
• Engagement in regulatory work to maintain bank’s advanced capital treatment under Basel II.
• Working with the Models & Methodology team to develop and implement new risk models, including scorecards, within the risk engine

Key clients (internal)

• Key clients are internal, covering Credit Risk, Credit Operations, Credit Solutions, and all front office business segments.

Role requirements

Technical Knowledge/ Business skills

• Strong background in financial mathematics (derivatives models, probability theory, econometrics) and good understanding of financial markets and traded derivative products. Understanding of key market risk/credit risk models such as Riskmetrics, CreditMetrics, KMV etc is a plus but not essential. Familiarity with mathematical packages and programming skills (VBA/C++).

Academic and Professional qualifications

• Excellent mathematical and IT skills, particularly relating to Excel. The role holder will have a strong intellect balanced by practical and pragmatic approach. The right candidate will have relevant financial services experience and be qualified to the industry standard i.e. ACIB, ACCA or equivalent.

Language & Numeric skills

• The right candidate will have an excellent command of the English language with strong written and verbal communication skills and be able to communicate effectively across all levels. . In particular, the ability to explain technical topics to a non-technical audience. Organised and self motivated person with the ability to work in a team and develop models timely.

Personal attributes

• In order to be successful in this role, the candidate must have the ability to working under pressure and to tight deadlines. There is a need for strong IT skills, particularly in Excel combined with sound problem solving and decision making skills.