Stress Testing Modelling - Quantitative Analyst

London, United Kingdom
Permanent - Full Time
NatWest Group
Job category
Risk Policy & Frameworks - Control, Oversight & Assurance

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This role is based in the United Kingdom and as such all normal working days must be carried out in the United Kingdom.

Join us as a Stress Testing Modelling Quantitative Analyst

  • Take on a pivotal role in our Finance function, in which you’ll be modelling credit projections for stress testing, capital planning and strategy setting purposes
  • You’ll enjoy extensive visibility at a senior level within the bank and with executives and regulators
  • 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’ll look to you to produce credit risk scenario projections for a specific business area using the approved models, methodology and processes, ensuring a high standard of accuracy and adherence to controls in line with given regulatory time scales. You’ll be providing comprehensive supporting analysis and MI to explain scenario projections in the context of the given scenario, other inputs, models, methodology and assumptions, 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 the quantitative methodologies needed to project impairments and credit risk weighted assets, implementing the 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 review and challenge purposes, 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 to help complete controls for the credit risk scenario projections process on time

The skills you'll need

To join us in this role, you’ll need knowledge of credit or financial risk management and measurement, with strong technical and communication skills. We’ll also look for you to have significant experience of credit risk analysis or modelling in a retail or wholesale banking environment, and a thorough understanding of stress testing requirements and the process, models, methodology and controls for generating credit risk scenario projections.

You should also hold a degree in a quantitative discipline such as Mathematics, Statistics, Econometrics or Economics preferably to PhD or post graduate level or with additional professional qualifications, such as a CFA or FRM.

As well as this, you’ll demonstrate:

  • Strong data handling and analysis skills, including programming languages such as Python, Bash, SQL and/or C++
  • Extensive knowledge in optimisation algorithms, Machine Learning techniques and regressions
  • Extensive knowledge of Counterparty Credit Risk Stress Testing and Structured Credit
  • An excellent understanding of the relevant capital requirements regulations, for example Basel II or III, and financial accounting standards such as IFRS 9
  • An organised approach with the ability to manage projects and work effectively to deadlines
  • Excellent attention to detail

If you need any adjustments to support your application, such as information in alternative formats or special requirements to access our buildings, or if you’re eligible under the Disability Confident Scheme please contact us and we’ll do everything we can to help.