Senior Analyst, Portfolio Analytics
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.
• 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
- 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