Job Title:
IMM / Credit Risk Methodology Duration: 6 Months Contract

Location:
London Day Rate: Negotiable Role Description CRMG is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements. This position will report to Head of EMEA Credit Risk Methodology Group working closely with Global CRMG function in US. EMEA CRMG represents the function responsibilities in the EMEA region and specifically covers the UK Group entities. Particular focus is to ensure local regional and entity stake holder requirements, stands and practices are met across all Counterparty and Credit risk activities for which CRMG is responsible. Primary

responsibilities:
Developing exposure methodologies, implementation of exposure models. Liaising with model developers on the enhancement of exposure methodologies. Developing, benchmarking, backtesting, and testing for Dynamic Initial Margin model. Monitoring and enhancing various Risk frameworks; Backtesting, RNIMM etc. Performing self-assessment for counterparty credit risk models and ensuring the company group remains complaint with IMM regulatory requirements. Supporting regulatory disclosures related to Internal Model Method (IMM). Co-ordinating regulatory responses with respect to the IMM methodology. Supporting Credit Risk Stress testing methodologies and framework. Working in advisory capacity to local and global risk managers and Front Office to ensure risk is appropriately captured in our systems. Supporting annual model validation of the exposure models. Skills Required: Good communication, written, presentation and relational skills. Up to date working knowledge of the regulatory requirements and change, specifically those emanating from Basel and EU regulatory authorities including PRA. MSc or PHD, or equivalent in highly quantitative subject such as maths, physics, finance or engineering. Strong analytical skills and experience with programming language ( Python, SQL, VBA) Experience in a quantitative group at a commercial, investment bank or a consulting firm. Skills Desired: Statistical skills (e.g probability theory, time series) and familiarity with statistical packages would be desirable but not required. Experience with Monte Carlo simulation and numerical analysis. Experience with other programming languages (MATLAB, C++ and JAVA).