Quantitative Analyst- Prudential Analytics & Inspections

Employer
Central Bank of Ireland
Location
Dublin, Ireland
Salary
Salary Scale
Posted
May 10, 2022
Closes
Jun 09, 2022
Ref
14843528
Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
The Central Bank of Ireland serves the public interest by safeguarding monetary and financial stability and by working to ensure that the financial system operates in the best interests of consumers and the wider economy.

We currently have a number of vacancies for a Quantitative Analyst, in the Financial Risks Division. This role is aligned with the Bank Professional 3 grade and the BP3 salary scale applies. Please click here for further information on our salary scales.

The general purpose of the role is to provide specialist expertise to support the prudential supervision of entities, identification of cross-sectoral or firm specific risks and ensure compliance with regulatory standards.

At present we are looking to fill these similar roles across a number of different teams;

Internal Models- Credit Risk Team- This team aims to ensure firms have sound models in place to calculate the RWA that reflects the firm's Pillar 1 credit risk as well as ensure the soundness of the provisioning processes and accuracy of the expected credit losses estimates.
Capital Quants Team - This team aims to ensure that firms are appropriately capitalised to cover the risks they face by providing technical quantitative expertise around ICAAP, SREP, stress testing and forward looking assessments. It also ensures firms have appropriate processes, systems and governance in place to appropriately manage and report on capital.

Upon applying you will be asked to select the select the team/role(s) you wish to be considered for.

Responsibilities (Across all roles):
  • Provide quantitative/technical expertise and specialist knowledge in relevant/related areas to support the prudential supervision of entities and identification of cross-sectoral or firm specific risks in order to ensure the stability of the financial system.
  • Deliver quantitative risk assessments, investigations, and framework design as relevant to the team/area. Likewise, deliver elements of relevant large-scale quantitative projects.
  • Take responsibility for own work and ensure the appropriate outcome of supervisory work is communicated clearly and effectively to the team and relevant stakeholders within other Directorates.
  • Implement approaches to, for instance, internal model investigations, quantitative risk modelling, development of recovery planning and crisis management frameworks and stress testing that ensure the Directorate can deliver on key projects and meet its objectives.
  • Contribute to delivering On-Site Inspections and Internal Model Investigations, ensuring they take into account the relevant legislative requirements, guidelines and industry best practice so the inspections are comprehensive. Support engagement with senior management of relevant entities with regard to the final findings and factual accuracy of the reports to ensure there is full comprehension of the assessment.
  • Provide relevant skills transfer and coaching to team members to share expertise and ensure that the necessary skills, competencies and knowledge are being developed and leveraged across the team, as appropriate.
  • Carry out such other ad-hoc quantitative analyst activities as may be determined by the team manager/ senior quantitative analyst, such as participation in other projects. Be responsible for own work outcomes and communicate these effectively within the team.
  • Work collaboratively with colleagues across the Bank and particularly within the Prudential Regulation Pillar, strengthening professional relationships, to ensure effective delivery of projects and supervisory programmes.
  • Support in the process for identifying/ understanding/ communicating the emerging issues and evolving landscape for the relevant risk area through horizon scanning, peer analysis and quantitative analysis and any other relevant means, as well as participating in the actions to mitigate/manage these issues.

Requirements (Across all roles):
  • A third level honours degree or professional qualification in the area of business, accounting, finance, economics, maths, risk or any related professional discipline. Working towards a Master's degree or equivalent professional qualification (e.g. Chartered Financial Analyst (CFA), PRMIA) in the area of business, accounting, finance, economics, maths, risk or any related professional discipline or comparable experience is desirable.
  • Relevant experience includes inter alia: working in credit/ equity analyst role, financial supervision, working in the financial services sector, or credit risk/ financial/ economic modelling, stress testing and capital forecasting.
  • Good quantitative skills/experience
  • Understanding/ experience of the financial sector and the practical operation of companies within that industry and quantitative risk management techniques and approaches.
  • Great analytical, problem solving and organisational skills.
  • Ability to critically assess complex/once off issues and recommend solutions.
  • Good understanding of relevant area/areas.
  • Flexible and critical thinker.
  • Very good verbal and written communication in particular the ability to communicate to the team.
  • Capability to challenge regulated institutions' management on subjective issues where required.
  • Acting professionally, ethically and with integrity.

Team Specific Requirements: Internal Models- Credit Risk Team
  • Provide specialist knowledge and technical expertise on diverse subject matters related to credit risk quantification including:
  • IFRS9 expected loss estimation
  • Credit loss forecasting
  • Credit risk RWA
  • Relevant Internal Ratings Based (IRB) parameters (PD, LGD and CCF)
  • Regulatory and prudential requirements governing risk measurement techniques
  • to support of the prudential supervision of assigned entities/sectors and identify cross-sector or firm specific risks in order to safeguard financial sector resilience.
  • Partake in and lead elements of interactions with regulated entities in relation to the area of internal models, in particular, operating as a member of project teams delivering on-site model investigations, as relevant, ensuring internal models under review meet the relevant legislative requirements, guidelines, and industry best practice to ensure appropriateness of their use in calculating own funds requirements. Support the engagement with senior management of relevant entities with regard to the final findings and factual accuracy of the reports to ensure there is full comprehension of the assessment.
  • Deliver quantitative risk assessments, as well as supporting framework design where relevant to the team/area, including areas such as IFRS9 ECL model reviews and credit risk loss simulations.
  • Play a significant role in the supervision of internal models for credit risk by delivering work streams related to the on-going model monitoring regime and thematic investigations.
  • Provide input on policy issues with regard to regulatory requirements for credit risk, in particular with regard to policy issues and supervision practices related to the IRB approach.
  • Partake in EU wide internal model related horizontal analysis projects and pan-European working groups.

Team Specific Requirements: Capital Quants Team
  • Provide specialist knowledge and technical expertise on a wide array of topics:
  • ICAAP assessment, focussing on the internal capital quantification and stress testing framework as part of the SREP process, authorisations, deep-dives by performing desktop reviews of the institutions' risk quantification methodologies.
  • Risk framework and capital plan assessment for banks, investment firms, fund service providers, e-money and payment firms contributing to the improvement of management practices and resilience of the financial system.
  • Stress testing framework assessments as well as support for the EU-wide stress test exercises or similar SSM exercises.
  • Support solvency forward looking assessments -covering a wide variety of scenarios and hypothesis, assessing the financial resilience of the banking sector
  • On-site investigations, deep-dives on ICAAP and capital.
  • Working groups and policy work around the aforementioned topics in the CBI, ECB, SSM, EBA etc.
  • Improving the crisis preparedness of central bank
  • Support Climate risk developments both at the CBI level as well as in international initiatives led by the SSM and EBA.

We know it's our people who make the Central Bank special and we are focused on creating a diverse, inclusive, fulfilling and progressive work environment. We encourage applications from candidates with different backgrounds, experiences and perspectives as it strengthens us, as individuals and as an organisation. We are committed to positively supporting candidates with disabilities. If we can make any reasonable accommodations for you in the recruitment process in order to give you the opportunity to perform to your best, please let us know. Any information that you provide will be used only for the purposes of providing relevant support and will have no bearing on how your application will be viewed.

Flexible working arrangements will be a consideration for the right candidates and we are open to applications from candidates seeking part time or job share arrangements.

Application Details:
Closing Date: 25th May 2022

To apply, please complete the application form attached (via the "apply" link). This allows you to tell us why you are the best fit for us.

Before starting your application you will be asked to create a profile with us, this will allow you to track and review your application throughout the process. Click "register" to create a profile and complete the application process.


Once your application has been successfully submitted you will receive an automatic email from us acknowledging receipt. If you do not receive this auto-acknowledgement, please contact recruitment@centralbank.ie .

The Central Bank pension scheme mirrors the rules of the civil service pension scheme. Details of the appropriate pension scheme will be provided upon determination of the appointee's status.

Cuirfear fáilte roimh chomhfhreagras í nGaeilge.
The Central Bank of Ireland is an equal opportunities employer.

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