Senior Analyst, Portfolio Analytics

£50,000 - £58,000
12 Nov 2017
18 Nov 2017
Contract Type
Full Time

Job Description: As a Senior Analyst, you will contribute to portfolio analysis, undertaking and documenting ICAAP stress testing, IFRAS9 modelling, portfolio loss and provision forecast, concentration & correlation analysis, and RWA calculation process.

The Client: A well-established, specialist UK savings and lending bank.

This Client does not provide sponsorship.

Key Responsibilities:

  • 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.
  • Use SAS/SQL/Excel to perform analysis and modelling required in ICAAP stress testing process, for implementation of IFRS9, to perform portfolio loss / provision prediction, etc.
  • Estimate, track and refresh portfolio concentration measures and establish portfolio correlation parameters

Key Requirements:

  • Extensive experience of advanced analytics / modelling in financial services or equivalent, preferably gained through leading financial institutions
  • First-hand experience in Basel IRB models and/or portfolio stress test modelling will be desirable
  • 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 modelling, econometric modelling, Monte Carlo simulation and possibly Dual-Time Dynamic modelling
  • Good working knowledge in Excel, Word and Power point. VBA and excel application development experience would be desirable.