Job Description
Quantitative Analyst / Model Developer – IRRBB & CSRBB Strategic Enhancement Initiative
📍 Location: London, Canary Wharf (Hybrid – 3 days in office)
🕒 Duration: 9 months (Full-time Contract)
🏢 Department: Enterprise Risk Management – Centralised Modelling, Analytics & Operations (CMAO)
About the Role
Seeking a skilled Quantitative Analyst / Model Developer to enhance IRRBB and CSRBB capabilities. Focus on developing, maintaining, and integrating advanced risk measurement models using QRM, aligning them with risk frameworks and governance.
Key Responsibilities
IRRBB / CSRBB Analytics & Implementation
1. Develop and maintain IRRBB and CSRBB measurements in QRM, covering Economic Value of Equity (EVE) and Net Interest Income (NII).
2. Ensure consistent metric generation across all products and portfolios for monitoring against management thresholds and limits.
3. Integrate IRRBB/CSRBB outputs into key risk frameworks, including stress testing, risk appetite, limit structures, and ICAAP capital discussions.
4. Quantitatively review results (...