For more than 20 years, Talan has been advising companies and administrations, supporting them and implementing their transformation projects in the UK and abroad. With a presence on four continents and a headcount of 5000 consultants, our ambition is to reach the billion turnover by the end of 2024.

The principle requirement of the role is to carry out quantitative analysis of potential counterparty credit risk backtesting model changes proposed in the context of regulatory or business requirements. Investigations will normally include model assessment, backed up by statistical tests and impact analyses. Prototype implementation, documentation and presentation of results are integral parts of the task. General understanding of the wider counterparty credit risk modelling framework, in addition to strong Python and writing skills are thus required.

Accordingly, the role does require a solid background in counterparty credit risk (preferred). Continuous interaction with other teams in risk and risk IT will call for strong communication skills.

Working in close partnership with quantitative analysts, analysts with risk IT and backtesting team members, as well as other stakeholders in risk, the successful candidate will be expected to:

• Contribute to the delivery of regulatory projects focused around the backtesting of CCR metrics. This includes gathering and documenting requirements, considering all stakeholders’ interests, regulatory constraints and any potential deficiencies in the current methods exposed by quality assurance and regulatory processes;
• Investigate, analyse and design the metrics, reporting requirements and report structure, respecting the aims of accurately capturing risks whilst considering regulatory, system or other environmental constraints;
• Design, develop and test code changes required to implement the risk methods in the risk systems, whilst assisting the technical teams responsible for the production environment;
• Ensure the methods are adequately documented to support internal reviews and validation by internal auditors or regulators, by providing sufficient developmental evidences (i.e. materiality studies, description of assumptions, benchmarking against external methodologies and justification of methodological choices); take the lead in ensuring the successful review by model validation teams.

To be successful in this role, the candidate should meet the following requirements:

• A strong academic background, with at minimum a Masters in mathematics, physics or quantitative finance;
• Quant with experience in credit risk, market risk or counterparty risk
• Someone who has experience with back testing & building risk metrics
• Python- must be able to write some bits of code/scripts to analyse data and build out metrics.
• Experience with design and implementation of prototype models;
• Good communication skills (both written and verbal) because this role will expose the candidate to a wide range of professionals within the bank.