Twenty Financial Services are currently recruiting for a Risk Scenario Expansion VP and AVP or a Tier 1 Bank in London.
Sitting within the Scenario Expansion area, this role will focus on capital, treasury and stress- testing.
This team is currently being newly created in order to develop new internal models, to replace the current use of external models. It will produce stress tests for Capital Management with a focus on regulations, providing forecasts for macroeconomic and market variables across multiple asset classes.
- Producing internal and regulatory stress tests for both UK and US
- Developing tools for Scenario Design and Expansion. Model development followed by analysis of model results
- Model validation, model development of pricing or market risk models across all asset classes- econometric modelling
- Experience within econometric modelling of time series or model development of pricing and risk models across multiple asset classes is essential
- Background in capital risk and treasury
- Experience within Stress Testing and Scenario Generation (in both US and UK is a plus)
- Excellent technical, analytical and programming skills, preferably in R or Python