VP, TnO Analytics, GRA

Appropriately calibrated and applied traded credit models helps ensure that risk is more accurately quantified, allocated and managed. This in turn leads to more appropriate risk-return analysis for the business. Regulatory approval for effective traded credit models aligns risk measurement and capital. This is optimal and removes arbitrage. Understanding of regulatory requirements means the business is forewarned of changes in the regulation and can prepare accordingly. Effective communication with the GRA team at both Regional and Group levels ensures there is a strong common understanding of the models and that best practices are being applied. Providing bespoke analysis for new business helps ensure that the business can make appropriate risk/capital assessments. Developing a clear understanding of regulatory expectations and requirements which can then be communicated internally and externally. Typical Targets and Measures Understanding of mathematical concepts behind models already implemented. Ability to navigate through the existing analytical modules of the CCR&XVA Library. Ability to propose mathematically sound alternative to address methodology deficiencies. Ability to modify existing library component to resolve issues. Ability to adopt Test Driven approach in methodology construction and while developing in the library. Ability to run batches and test suites. Ability to document and to use communication tools at disposition to convey the right message to stakeholders. Appetite to learn and enthusiasm in performing daily task including the less glamorous ones. Must be able to work autonomously and be able to meet tight deadlines. Must be able to manage ambiguous requirements and make effective decisions in this context. The nature of the role requires close working contact with personnel across many different areas of business and risk, in all regions of the Group.