Job Summary
The role is part of SCB’s Front Office Modelling and Analytics Group (MAG). The team within MAG has members from different backgrounds and is located in London and Singapore.
Our core responsibility is to develop, test and implement various market risk models in SCB’s internal analytics library across product types and asset classes in line with relevant regulatory requirements. We aim to ensure that our business units use capital efficiently and can manage and understand our risks effectively by building out the required models and tooling.
For this role we are looking for an experienced functional programmer (ideally in Haskell) that has worked on large production libraries. Modelling experience will be beneficial, but is not essential for candidates that have an interest to develop their understanding of quantitative modelling.
Key Responsibilities
- Implement, test and enhance different models and methodologies in the context of market risk modelling across all markets/asset classes in SCB’s internal analytics library.
- Support the implementation of a robust risk measurement framework for the purpose of effective risk management and regulatory capital calculation.
- Provide technical guidance and expertise on market risk modelling techniques and their implementation.
- Provide guidance and mentorship to more junior team members.
- Closely cooperate with stakeholders across the bank, such as Traded Risk Management or Group Model Validation.
- Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
Skills and Competencies
Our Ideal Candidate :
- Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics, physics, computer science or engineering.
- 7+ years of experienced developer in the context of large analytics libraries in a production environment.
- Knowledge of functional programming languages such as Haskell will be a big plus; knowledge of C++, C#, Java or similar will be considered an advantage as well.
- Strong foundational knowledge of mathematics and statistics and their applications for market risk modelling.
- Expert knowledge of risk modelling techniques, e.g.:
- Value-at-Risk, Expected Shortfall, Risks-not-in-VaR,
- Risk factor simulation,
- Backtesting methodologies,
- Proxy analysis.
Role Specific Technical Competencies :
- Working knowledge of Latex for documentation of technical models.
- Experience with the regulatory market risk capital framework would be a plus (CRR, FRTB or similar).
- Foundational knowledge and experience with pricing models will be a plus
About Standard Chartered
We're an international bank, nimble enough to act, big enough for impact. For more than 170 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
- Are better together, we can be ourselves, be inclusive, see more good in others, and work collectively to build for the long term
What we offer
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 leave, parental/maternity (20 weeks), sabbatical (12 months 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.
Visit our careers website www.sc.com/careers
