Job Introduction
The UK Risk department is responsible for risk control within Handelsbanken plc ensuring there is a comprehensive and objective view of all risks in the Bank’s business operations, providing independent management assurance to the UK CEO that the business are identifying and managing its risks adequately.
The quantitative risk analysis team is responsible for the coordination of the yearly ICAAP, stress test framework and stress test execution across ICAAP, ILAAP and RRP, model support, quantitative risk analytics across all risk classes and IRB implementation. The main objective of the team is to act as a data excellence hub for the rest of the risk function and other functions within the Bank. The breadth of the deliverables and the fact that processes, modelling- and analytical capabilities are continuously being developed and improved demands a flexible and collaborative approach from team members to ensure solid team performance in coordination with the business.
This role will work within the IRB project where the goal is to roll out the Internal Ratings Based (IRB) approach to Handelsbanken’s portfolios over the next few years. The quantitative risk analyst will support the Bank in obtaining the IRB permission by doing data analysis, model development and monitoring as per the IRB regulatory requirements.
Main Responsibility
- Operates in line with the Bank's Risk Management framework (including sub-frameworks) and relevant risk and compliance policies and procedures, ensuring appropriate and timely escalation of any concerns to their line manager.
- Definition of IRB data requirements for Loss Given Default models for the retail portfolio. Assessment of data availability against the requirements, identification of data gaps, data quality assessment and remediation activities.
- Support model development for the following IRB models in accordance with Handelsbanken’s internal policies and standards:
- Rating, Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models
- Slotting model for Income Producing Real Estate portfolio
- Stress testing models
- Providing input to the ongoing regulatory self-assessment for IRB
- Production of model documentation and reports in accordance with internal standards
- Supporting ongoing model maintenance such as ad hoc model testing, recalibration and annual model reviews
The Ideal Candidate
- Minimum 4 years of relevant experience working in financial services, including IRB model development and data analysis;
- Solid understanding of the IRB regulation (CRR, EBA, PRA)
- Have a strong analytical background and numerical skills
- Be degree educated or equivalent, preferably in statistics, mathematics, data science or engineering;
- Hands on experience from one or more statistical data programmes such as SAS, SQL;
- Be proactive, able to act on their own initiative and ownership of own work;
- Deliver high quality outcomes;
- Have an ability to communicate, analyse, articulate and present complex issues clearly and concisely both verbally and in writing;
- Have excellent attention to detail;
- Be a strong team player;
- Be able to work in an organised yet flexible manner.
Package Description
£ competitive
About the Company
Handelsbanken is a relationship bank with a decentralised way of working, a strong local presence thanks to a nationwide network of branches, and a long-term approach to customer relations. Each Handelsbanken branch operates as a local business enabling it to make decisions at a local level and provide a bespoke service. The focus is always on the need of the individual customer and not on the sale of specific products.
The Bank is deeply committed to embedding good equality and diversity practice into all of our activities. This is so that we are an inclusive, welcoming and inspiring place to work that encourages everyone to apply, regardless of socio-economic background, age, disability, pregnancy and/or parental status, race (including colour, nationality, and ethnic or national origin), veteran status, marital and civil partnership status, religion or belief, sex, gender reassignment or sexual orientation.