Senior Analyst, Portfolio Analytics
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.
- 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
- 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.