Credit Risk Consultant

  • Location:

    London, England

  • Sector:


  • Job type:


  • Salary:


  • Contact:

    Ben Barakauskas

  • Job ref:


  • Published:

    6 months ago

  • Duration:

    6 Months

  • Expiry date:


  • Startdate:


Credit Risk Consultant

Main Purpose of the Role :

Under the leadership of new head and management, Credit Risk department has embarked on an initiative to perform a deep dive review of their existing Risk Appetite and Concentration Management framework and sophisticate and enhance the existing frameworks. One of the main objectives of this project is to identify and develop the following :

1) New Risk Limits/ Tolerances and Risk measures for quantifying Credit Risk Appetite

2) New Limits for measuring and managing Concentration risk in the Credit Risk Portfolio

3) Review and refinement of the existing metrics

Therefore the purpose of this role is to work on this initative andlead the development of appropriate limits and tolerances and measures by applying different Credit risk modelling techniques on Credit Risk Portfolio data. The limits and measures developed will used on a practical basis to manage and report Risk Appetite and Concentration Risk to our Senior Management.

Key Responsibilities:

For dual hat only:

In this role, you will be responsible for undertaking various activities and tasks of Portfolio Management and Analysis team across MUFG's banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.

* Coordinate and collaborate with senior management in CRMD and other departments of the bank to support the design and implementation of best-in-class program enhancements for the Risk Appetite framework, including, but not limited to: (i) Design and development of new risk Limits and Tolerances and other measures (mostly based on Economic capital) ii) refining key risk metrics and the linkage to various limit structures; (ii) developing dashboards for senior management and Board reporting; (iii) Further integration of Risk Appetite into strategic business planning at the Firm and Business Line levels

* Develop, enhance and implement portfolio centric concentration limits and thresholds focusing on tall tree risk in its various forms, whether by industry, portfolio, single name, product type, geography, structure, maturity, etc.

* Develop and improve what-if capabilities and frameworks to support the decision to maintain the current level of risk limits and tolerances and propose re-calibration if required

* Partner with business lines and other areas to understand key business drivers of Risk Appetite results

* Analyze the impact of changes in the macroeconomic environment (e.g. Stress test), exposure levels and methodology / modelling assumptions on the established credit risk metrics

* Maintain and enhance the Economic Capital (EC) model

Skills and Experience:

Functional / Technical Competencies:

Essential :

* Strong quantitative skills, with a degree in a numerate discipline, and proven skills in data driven analysis and statistical or mathematical modelling

* Good understanding of financial products

* Good knowledge of Credit Risk Management and various Credit Risk measurement techniques

* Knowledge of Regulatory (Basel) capital framework

* A good knowledge of different Credit modelling techiniques and familiarity with different credit risk models and Economic capital modelling methodlogies - such as simulation, correlation and valuation methods.

* Basic Knowledge of statistical language skills such as R, Matlab, Python or SAS.

* Knowledge of PD/LGD/EAD/PFE parametersand measures

* Working knowledge of MS office products (esp. MS Powerpoint, MS Access)

* Good communication skills - Ability to present and communicate trends and analysis in a clear and concise manner.

Preferred :

* Prior experience of working on a Risk Appetite project

* Knowledge of Economic Capital Framework using Moody's Risk Frontier / EDF

* A basic knowledge of Counterparty Credit risk for Derivatives

Work Experience:

* Experience of working in the banking sector (Essential)

* Experience of working in credit risk management area ideally in Risk management or Portfolio management or Credit Modelling area. (Essential)

Education / Qualifications:

* Degree in some numeric discipline e.g. Math, Economics, Business, Statistics

Personal Requirements:

Excellent communication skills

Results driven, with a strong sense of accountability

A proactive, motivated approach.

The ability to operate with urgency and prioritise work accordingly

Strong decision making skills, the ability to demonstrate sound judgement

A structured and logical approach to work

Strong problem solving skills

A creative and innovative approach to work

Excellent interpersonal skills

The ability to manage large workloads and tight deadlines

Excellent attention to detail and accuracy

A calm approach, with the ability to perform well in a pressurised environment

Strong numerical skills

Excellent Microsoft Office skills

SQL skills (preffered)


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