Capital Stress Testing Risk Manager

4 weeks ago

London, United Kingdom Jefferies Full time

Team Description

The Enterprise Risk team is part of the Risk Management Department and is responsible for: 

Developing and maintaining the Loss absorbing Tangible Equity (LTE) framework, which is Jefferies Group’s internal economic capital. This includes the development, maintenance and execution of economic capital models which feed into the Firm’s internal capital assessment. Capital models cover market risk, issuer risk, counterparty risk, settlement risk, operational risk, business risk;  Undertaking entity-wide stress testing and scenario analysis and supporting the stress testing infrastructure of the wider Jefferies Group across risk disciplines;  Assessing Group’s Portfolio risk across business lines, implemented through the enhancement of top down / firm-wide reporting and key metrics with focus on concentrations and diversification; The implementation and maintenance of the Risk Management Framework, Stress Testing Framework, Risk Appetite Framework (including risk appetite definition and calibration), Country Risk Framework, Business Model Analysis, and Risk Strategy and Governance of Jefferies Group;  The development and maintenance of a Risk Taxonomy across financial and non-financial risks covering all Group’s activities and business lines.

Position

The successful candidate will be a member of the Enterprise Risk team. The role requires the applicant to support the Loss absorbing Tangible Equity (LTE) framework, which includes the development and maintenance of internal economic capital models, the automation of reports and calculations, and the review and submission of LTE reports to internal stakeholders. LTE supports the Firm’s internal assessment of capital adequacy as well as the allocation of risk capital across business lines and divisions.

Primary responsibilities

The successful candidate’s responsibilities will include:

Supporting the development and maintenance of Groupwide internal economic capital models covering market risk, issuer jump to default risk, credit counterparty risk, settlement risk, operational risk, business risk; interest rate risk in the banking book. Contributing to the automation of the production of LTE metrics at different levels of the Firm. This will include identification and resolution of data gaps, write up of technical specs for IT automation, and coding for improving the efficiency and speed of reports production. Developing and maintaining methodologies for allocating capital across business lines, divisions and legal entities. Executing the LTE capital models and reviewing LTE metrics, before submission to internal stakeholders as part of ongoing reporting. Obtaining the buy-in of business / front office stakeholders and senior management around the capital methodologies used, their calibration and the allocation mechanisms.

Requirements

The following skills and experience are required for this role:

Educated to degree level; At least years of experience in the financial services industry working on similar projects and strong understanding of risk management frameworks; Developed, maintained and/or executed one or several of the following components: economic capital models; stress testing and scenario analysis; capital planning and allocation; regulatory capital assessments. Analytical and numerate, comfortable managing financial data and MI, with strong excel / coding skills (Python / VBA preferred); Knowledge of best industry practices and regulatory guidelines / benchmarks related to economic capital and/or regulatory capital; Good knowledge of investment banking business models, of capital market products, and of financial products including fixed income and equity (cash and derivatives); Good written and oral communication / presentation skills; A team player, comfortable working in a dynamic and evolving environment; Ability to work independently and assume responsibility for project deliverables.

Location of work 

This role is based in London and will be office-based or flexible working with a blend of home and office, subject to Jefferies operational requirements.

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