Senior Analyst, Portfolio Analytics

London (Greater)
£55,000 - £70,000
12 Nov 2017
18 Nov 2017
Contract Type
Full Time

Contribute to deep dive portfolio analysis, undertaking and documenting ICAAP stress testing, IFRAS9 modelling, portfolio loss and provision forecast, concentration & correlation analysis, and RWA calculation process. Support bank-wide programs on capital assessment, allocation and efficiency improvement

The Client- A large British bank, specialising in the savings and lending markets.

This Client does not provide sponsorship.

The role-

• Contribute to developing, enhancing and documenting methodologies and processes in compliance with regulatory requirement such as ICAAP / stress testing, IFRAS9 implementation, Pillar 2 capital adequacy assessment, etc.

• Estimate, track and refresh portfolio concentration measures and establish portfolio correlation parameters

• Contribute to developing economic capital estimation methodology & maintaining economic capital calculation engine

• Contribute to developing and continuing to improve group provision modeling methodology

• Contribute to identifying RWA optimization opportunities for capital efficiency improvement

• Understand thoroughly bank’s data warehouse, data marts and related systems

• Identify portfolio and capital management data needs, support manager in working with Finance / IT teams for strategic solution and short term fixes

• Use SAS to perform analysis required in ICAAP stress testing process

• Use SAS to perform analysis and modeling for implementation of IFRS 9

• Use SAS and Excel to perform portfolio loss / provision prediction in part of business planning process

• Use SAS, SQL and/or Excel to undertake portfolio performance analysis in supporting businesses, as required

• Perform deep dive portfolio analysis for portfolio review, as required

• Undertake other tasks as line manager requested

Key Requirements-

  • Strong SAS programming skills including Base SAS and Macros
  • Strong data handling and processing skills including SQL programming
  • Good working knowledge and proficiency in statistical analysis, credit scorecard / Basel IRB modeling, econometric modeling, Monte Carlo simulation and possibly Dual-Time Dynamic modeling

Good working knowledge in Excel, Word and Power point. VBA and excel application development experience would be desirable