This role is part of the Risk Methodologies and Analytics (RMA) Team which is part of the Bank’s Risk division. RMA is a cross‑functional Risk Management team that reports to the Head of RMA and is responsible for various methodologies on a quantitative and qualitative basis for Market Risk, Counterparty Credit Risk, Credit Risk, Operational Risk, Liquidity Risk, Business Risk and portfolio modelling relating to Economic Capital.
What you’ll be doing
You’ll be responsible for:
- Supporting and developing the MR and CCR methodology framework and providing methodological assurance for the new product approval process.
- Supporting regulatory‑related work in a broad sense covering pillar 1 (IMA, FRTB SBA) and pillar 2 (a – internal capital /b – stress capital framework) in relation to MR / CCR.
- Participation in changing the bank strategic initiatives where it crosses over MR / CCR methodology.
- Assisting on and taking ownership, where feasible, of setting up RniV calculations related to the IMA model and assisting with market data review and calculation used for VaR / SVaR / CCR risk factor calibration.
- Maintaining up‑to‑date and detailed documentation of existing risk models (such as IRRBB) and risk methodologies affected by change, meeting regulatory requirements and internal standards.
- Providing detailed pre‑emptive justification and ongoing review of modelling choices and assumptions in support of model risk management.
- Providing support and liaising with Model Validation to address related model validation findings.
What you’ll need to be successful
We’re looking for the following skills and experience. If you don’t have all of these but think you could be a good fit for the role, get in touch.
- Experience in either MR or CCR modelling either through a model development or model validation role.
- Intermediate practical and theoretical mathematical risk modelling knowledge including modelling techniques.
- Proficiency in Python, C#, C++ or Matlab development experience, including integration with Microsoft Office.
- Understanding and practical experience of:
- MR modelling experience used in VaR, SVaR, RniV, back‑testing and stress testing to support historical simulation VaR model.
- An understanding of front‑office valuation across trading and banking book.
- Murex experience.
- CCR exposure calculation (risk factor simulation and valuation) and metrics experience.
Why should you join us?
ICBC Standard Bank Plc (ICBCS) is a leading financial markets and commodities bank, driven to deliver the right outcomes for our stakeholders, clients, counterparties and markets. We benefit from a unique Chinese and African parentage and an unrivalled global network and expertise. We’re headquartered in London, with operations in Shanghai, Singapore and New York.
We’re a diverse and close‑knit global team. We put people first, giving talented, self‑driven professionals the flexibility, rewards and freedom to grow their expertise and realise their potential.
Our vision statement, “Be Yourself, Succeed Together”, underpins our drive for an open and transparent culture which values difference, enabling everyone to thrive whilst being themselves. We have an active E, D&I forum and we’re growing other employee network groups, including for women and neurodiversity.
We’re committed to the principle of equal opportunities. All applicants will be treated equally and will be considered on their merits and skills without discrimination.
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