JOB PURPOSE (S)
The Risk Analytics team provides tools, analysis and support for the business divisions within the Group; to identify and measure risk, optimize risk prevention and mitigate losses. The candidate will be responsible for a team whose sole responsibility is the development of all methodological aspects of risk management.
DUTIES & RESPONSIBILITIES
Development of methodologies for rating & scoring including decision analytics, portfolio modeling for all risk types across the group( VaR and economic capital – REGULATORY CAPITAL IS NOT CURRENTLY APPLICABLE)
Development of exposure methodologies and the calibration & validation of the respective risk parameters
Development and management of applications and tools for capital planning, stress testing, Raroc, portfolio optimization etc.)
Development of new scoring methodologies and extended use of sophisticated statistical methods for credit risk ;Data analysis on defaulted customers and modeling of recoveries
Analytical support of portfolio management units in the risk assessment of sub-portfolios
Development and validation of expert rating models (rating sheets)
Capital planning: extension and maintenance of planning tools; support of the annual group-wide capital planning process
Risk adjusted return on capital (RaRoC) calculations: extension and maintenance of the RaRoC pricing/performance Tools RPT and Client RaRoC; regular RaRoC calculations
Portfolio management tools: establishment of a risk appetite grid and a portfolio optimization framework
Stress Testing:
Definition of integrated scenarios for financial (market and liquidity), credit, operational, business risk and develop the different approaches into one unified framework
Identification of risk drivers and their stress impact
Analysis of stress test results and communication with relevant stakeholders i.e. Business Units, Risk Management units, Finance (Treasury and Capital Management)
Establishment of a reporting engine that allows ready and efficient result dissemination
KEY PERFORMANCE INDICATORS
Identify and Quantity operational risks across the group
Developed Weighted Average Risk Rating and begin to measure
Implement Risk Reporting on Operational Risks across the group
Fully developed CSRA program group-wide
Working KRI program group-wide
Identify and Quantity operational risks across the group
Developed Weighted Average Risk Rating and begin to measure
Implement Risk Reporting on Operational Risks across the group
Fully developed CSRA program group-wide
Working KRI program group-wide
Timeliness in meeting deadlines and schedules
JOB REQUIREMENTS
Education
Minimum Education: Master’s degree or higher in a strongly technical degree (e.g. Mathematics, Statistics, Physics, Computer Science, engineering).
Experience
Minimum experience – 10 years working experience with a minimum of 5 years experience in financial mathematics, ideally in the field of statistics, probability or structured finance
Experience working in an R&D or entrepreneurial environment, particularly on a development team
KEY COMPETENCY REQUIREMENTS
Knowledge
Proficiency in MS Office suite (Excel, Word, PowerPoint, Access)
At least one programming language: C, C++, Matlab, Java, Mathematica, SAS, VBA
Strong understanding of Risk Management principles
Skill/Competencies
Ability to thrive in uncertain environment
Experience with analysis of raw data, ability to discern patterns and determine optimal areas of inquiry based on analysis of raw data
Professional Excel plus experiences with relevant software packages, ideally SAS, VBA,
C++, SQL, MS Access
Excellent written and Communication skills (written and oral)
Strong analytical skills & proven ability to solve problems independently
Attention to detail
REPORTING RELATIONSHIPS
Functionally reports
Group Chief Risk Officer