Stress Testing Modelling Quantitative Analyst

NatWest Group
London, United Kingdom
15 Nov 2022
15 Dec 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Join us as a Stress Testing Modelling Quantitative Analyst

  • Take on a pivotal role in our Finance function, in which you will be modelling market and credit risk projections for the purpose of stress testing, capital planning and strategy setting using Machine Learning techniques, Monte Carlo methods and Econometrics models.
  • You'll enjoy extensive visibility at a mid to senior level within the bank
  • It's an opportunity to further your career by working with senior stakeholders and enhance your technical skills and knowledge of the business in a fast-paced environment

What you'll do

We expect you to build and maintain Stress Testing models for either specific areas of the Bank portfolio such as Counterparty Credit Risk and Structured Finance portfolio, or for more strategic purposes across the entire Bank such as Reverse Stress Testing. Those models aim at deriving economically relevant credit risk scenario projections and shocks to better prepare and assess the risks of the positions taken by the Bank. On top of your modelling work, you will also be significantly involved in the automation of processes, ensuring high accuracy and adherence to controls in line with the regulatory standards. You'll be providing comprehensive supporting analysis to the Execution team regarding the output scenario projections, the different inputs and assumptions taken, while engaging with stakeholders and experts from the business areas, Risk, Audit, and other functions to provide business insights and analysis in a timely manner.

Other key aspects of your role will involve:
  • Developing models and methodologies required to project the credit and market risk factors used for the calculation of stressed risk weighted assets, implementing approved models or analytics solutions
  • Developing adjustments to modelled outputs to address model weaknesses and limitations or apply management judgement
  • Preparing detailed, high quality presentation materials for the management, and presenting modelling results to stakeholders
  • Producing ad hoc insights or analysis, as needed by the business or regulators, to help interpret and use stress testing results and scenario projections
  • Providing accurate evidence and documentation for Model Risk / Validation and other stakeholders.

The skills you'll need

To join us in this role, you'll need a strong knowledge of Quantitative Modelling coupled with the ability to implement models, ideally in sophisticated cloud development environment. Experience in modelling risk measures such as Value-At-Risk, CVaR, Exposure modelling, Stress Testing and capital models is a significant advantage. On top of your strong technical skills, you will also require to successfully communicate with technical and non-technical audience.

You should also hold a degree degree in a quantitative discipline such as Mathematics, Physics, Statistics, Computer Science or Financial Engineering preferably to Master/PhD and with additional professional qualifications, such as a CFA or FRM.

As well as this, you'll demonstrate:
  • Strong programming skills in Python. Bash, SQL and C++ are desirable but not necessary
  • Extensive knowledge in Machine Learning techniques and Monte Carlo methods, stochastic calculus and optimisation algorithms
  • Strong knowledge of Counterparty Credit Risk Stress Testing and Structured Credit is preferrable
  • An organised approach with the ability to manage projects and work effectively to deadlines
  • Excellent attention to detail