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Head, Credit and Equity CCR Quantitative Models

Standard Chartered Bank
London, United Kingdom
Closing date
Jun 16, 2023

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Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Financial Markets has expertise combined with deep local market knowledge to deliver a variety of risk management, financing, and investment solutions to our clients. The FM team offers capabilities across origination, structuring, sales, trading, and research. Offering a full suite of fixed income, currencies, commodities, equities and capital markets solutions, FM has firmly established itself as a trusted partner with extensive on-the-ground knowledge and deep relationships.
Within FM, the Modelling & Analytics Group ('MAG') is accountable for design, development and delivery of real-time pricing models, risk models, and core infrastructure, enabling pricing, market data, intra-day risk reporting capability, and portfolio level analytics including reporting and capital computation.
We currently have opportunities at Director / Executive Director level in the Modelling and Analytics Groups (MAG) for Credit and Equity counterparty risk Analytics. MAG is responsible to develop and maintain the cross-asset derivatives pricing library constituting the core engine of the trading and risk management platform. MAG also developed the Core analytics used in many regulatory Credit and Capital calculations.
Key responsibilities:
• Implements Counterparty Credit and Equity Risk (CCR) models
• Liaise with Front Office Trading to support thei understanding of PFE risk
• Support Risk Management activities and initiatives to improve CCR management
• Produce analytics documentation and test material
• Provide day-to-day support for all relevant consumers of CCR data
• Improve existing and implement new risk and regulatory related analytics
• Support the development of counterparty credit risk exposure simulation methodologies and tools compliant with internal and regulatory requirements.
• Develop processes and tools designed to monitor existing CCR model performance, analyse their output and prepare reports for stakeholders
• Assist credit risk reporting functions in the development of effective reporting tools enabling responsive and proactive reviews of the trading book credit risk exposure.
Internal and Regulatory compliance
• Ensure models are developed and maintained in-line with the applicable policies and standards.
• Comply with the Operational Risk Framework.
• Proactively support the implementation of the Group Model Risk policy.
Regulatory & Business Conduct
  • Display exemplary conduct and live by the Group's Values and Code of Conduct.
  • Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
  • Effectively and collaboratively identify, escalate, mitigate, and resolve risk, conduct and compliance matters.
Key stakeholders
• Trading, Sales, and Structuring business colleagues
• Counterparty credit risk managers
• MAG developers
• Counterparty Credit Risk Analytics
• Model implementation delivery (MAG Cortex, SABRE, etc.)
• Group Model Validation
• FM model risk management
  • Strong academic qualifications in a quantitative subject (e.g., Financial Mathematics, Master's, or PhD)
Role Specific Technical Competencies
  • Experience developing/validating counterparty credit risk models and understanding counterparty credit risk (CCR) and economic regulatory and market environment in which Banks operate
  • Experience in developing Credit and Equity models either for derivative pricing/risk management (e.g. Cox Ingersoll Ross, Hull White, Black Karasinsky).
  • Experience in developing Credit and Equity models either for derivative CCR risk management (e.g. contagion model, copula, systemic jump models).
  • Good knowledge of numerical methods, stochastic calculus, and probability theory
  • Good communication skills (verbal and written English)
  • Excellent programming skills (C++ programming and/or functional programming e.g. Haskell)
  • Knowledge of financial market products, market conventions and regulatory requirements
About Standard Chartered
We're an international bank, nimble enough to act, big enough for impact. For more than 160 years, we've worked to make a positive difference for our clients, communities, and each other. We question the status quo, love a challenge and enjoy finding new opportunities to grow and do better than before. If you're looking for a career with purpose and you want to work for a bank making a difference, we want to hear from you. You can count on us to celebrate your unique talents. And we can't wait to see the talents you can bring us.

Our purpose, to drive commerce and prosperity through our unique diversity, together with our brand promise, to be here for good are achieved by how we each live our valued behaviours. When you work with us, you'll see how we value difference and advocate inclusion. Together we:
  • Do the right thing and are assertive, challenge one another, and live with integrity, while putting the client at the heart of what we do
  • Never settle, continuously striving to improve and innovate, keeping things simple and learning from doing well, and not so well
  • Be better together, we can be ourselves, be inclusive, see more good in others, and work collectively to build for the long term
  • In line with our Fair Pay Charter, we offer a competitive salary and benefits to support your mental, physical, financial and social wellbeing.
  • Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations
  • Time-off including annual, parental/maternity (20 weeks), sabbatical (12 weeks maximum) and volunteering leave (3 days), along with minimum global standards for annual and public holiday, which is combined to 30 days minimum
  • Flexible working options based around home and office locations, with flexible working patterns
  • Proactive wellbeing support through Unmind, a market-leading digital wellbeing platform, development courses for resilience and other human skills, global Employee Assistance Programme, sick leave, mental health first-aiders and all sorts of self-help toolkits
  • A continuous learning culture to support your growth, with opportunities to reskill and upskill and access to physical, virtual and digital learning
  • Being part of an inclusive and values driven organisation, one that embraces and celebrates our unique diversity, across our teams, business functions and geographies - everyone feels respected and can realise their full potential.
  • Recruitment assessments - some of our roles use assessments to help us understand how suitable you are for the role you've applied to. If you are invited to take an assessment, this is great news. It means your application has progressed to an important stage of our recruitment process.
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