PERM - RMD - Senior Quantitative Risk Analyst - VP

SMBC: A trusted partner for the long term

Here at SMBC Group, we want to help you find the next step in your career so read on to discover if this opportunity is the one for you. We like to recognise potential in our people, so we welcome your application even when your experience doesn’t perfectly align with the job description. Whilst we’ll always strive to be better, we’re proud of our inclusive culture, and encourage our applicants and colleagues to be their authentic, unique selves.

Section 1 – Details

Job Title / Corporate Title: Senior Quantitative Risk Analyst / VP

Department / Group: Modelling Group / RMD

Responsible to / Line Manager: Head of Modelling Group

Direct Reports: There is no direct report to the role holder

Location: 100 Liverpool Street, London, EC2M 2AT, London

Date Prepared: 19th Sep 2023

Section 2 – Purpose of Job

• Support the development, implementation, and delivery of the Model Risk Management Framework across EMEA region.
• Assist with the development of models related to credit, market, liquidity, and climate risk.
• Estimate the regulatory capital by actively participating in the Internal Capital Adequacy Assessment Process (ICAAP).
• Support the Unity project in terms of model alignment and data integration by considering risk associated with the security portfolio and ancillary products.
• Maintain related documents to regulatory and audit standards.
• Manage and provide training to junior/new staff in the group.

Section 3 – Background

The Modelling Group sits within Risk Management Department (RMD) in SMBC BI and it is responsible for:

• Design, delivery, and coordination of a broad range of modelling projects including Stress Testing, IFRS9, Climate Risk Assessment, Operational Risk etc.
• Assessment of the regulatory capital by engaging in ICAAP Stress Testing process.
• Development and ongoing maintenance of the Model Risk Framework to ensure that the risks associated with the model’s life cycle are appropriately captured and mitigated.
• Providing technical and quantitative support to various parts of the business.

Section 4 – Facts / Scale

• The Modelling Team comprises 9 permanent employees.
• Oversight of more than $60bn balance sheet and associated risks.
• Interaction with senior management both within and outside RMD via participation in risk committees especially the Prudential Regulatory Committee.
• Provide stress testing, ICAAP and Model risk related services and technical support to all EMEA entities.

Section 5 – Accountabilities & Responsibilities

• Design, develop, and maintain the Model Risk Management Framework around Policies, Procedures, Model Inventory, Model Development Standards etc.
• Engage with the Model Validation Team to ensure that all items subject to the Model Risk Management Framework are addressed in timely manner.
• Making sure the model inventory is accurately maintained including validation timelines and appropriately summarised / escalated to the Model Risk Management Committee.
• Participate on various ICAAP workflows including Climate Risk estimation, risk tolerance set up, stress testing calculation, and/or as instructed by management.
• Produce portfolio analytics covering capital contribution for both Economic Capital and Regulatory Capital.
• Assist with the development of models related to credit, market, liquidity, and climate risk.
• Participate in the production of stress testing methodologies for the SMBC BI portfolio; ensure existing methodologies are appropriate and up to date; and ensure documentation is accurate and comply with the latest regulatory and audit requirements.
• Periodically oversee the review of appropriateness of existing risk models and metrics, make recommendations for improvement where appropriate. Ensure proper model governance practice is observed e.g. by following model validation process and maintaining technical model documentation.
• Support the SMBC Unity project in terms of data integration and alignment of models by considering new portfolio mix and associated risks.
• Knowledge and experience with security and derivative products is an advantage.

Section 6 – Knowledge, Skills, Experience & Qualifications

• Experience in credit risk analytics or quantitative research within financial services.
• Understanding Basel III and regulatory capital requirements for banking industry.
• Proven problem-solving skills using logical reasoning and analytical methods.
• Working knowledge of SQL and other programming language (R, SAS, Python etc.).
• Excellent Excel and Access Skills.
• BSc/MSc Degree in a quantitative field (Finance, Mathematics, Economics, Engineering etc.).
• Excellent written and verbal communication skills.
• Able to manage a multitude of tasks, meet tight deadlines and deliver results.
• Comfortable to work either independently or within team dynamics.
• Ability to communicate risk concepts across a broad range of technical and non-technical staff.
• Self-motivated with the ability to work within stringent timelines.

Section 7 – Dual-Hatting

1. Dual-Hat Details (only required if different to the employing entity details)

Dual-Hat Job Title:

Dual-Hat Line Manager:

Dual-Hat Direct Reports:

Dual-Hat Certification Regime:

1. Dual-Hat Roles and Responsibilities

You will be required, from time to time, to undertake tasks on behalf of the dual-hat entity, as necessary.

1. Dual-Hat Conflict of Interest

• You will have responsibilities for both SMBC BI and Nikko CM.
• You will be required to perform your duties and responsibilities on an entity neutral basis, without favour.
• You are required to follow regulatory requirements applicable to ensure each business is appropriately supported and to maintain the legal entity integrity of each of SMBC BI and Nikko CM.
• Working terms are dictated by functional mandates in place between SMBC BI and Nikko CM and any other relevant agreements entered between SMBC BI and Nikko CM.
• You have responsibility for identifying and resolving where there may be a difference or conflict in needs between SMBC BI and Nikko CM, escalating to your manager/Compliance officer where required.

We recognise our role as a bank to support social change and welcome all applications, including those from groups often under-represented in financial services. We value the uniqueness of professional and personal backgrounds and perspectives as they play a vital role in continuing the sustainable growth of our organisation. We’ll ensure reasonable adjustments to our recruitment process are offered due to a disability or long-term condition whenever requested.#J-18808-Ljbffr