Job Summary

The role is within the Market Risk Analytics team (MRA). MRA is responsible for the design and implementation of all Market Risk models and methodologies within SCB. The main Market Risk models are Value at Risk (VaR), Risk not in VaR (RNIV), and the Fundamental Review of the Trading Book (FRTB) models. These models are used for internal risk management and capital computation. MRA responsibilities include responding to Model Validation challenges and, when required, present the models to regulators in various jurisdictions.

Key Responsibilities

• Contribute to the development of market risk models used for regulatory capital and risk management, including definition of model methodology, model implementation, model testing and model documentation.
• Contribute to the development and analysis of the VaR model, of RNIV models and of FRTB models.
• Analyse key model performance metrics such as hypothetical backtesting and P&L attribution test (PLAT).
• Support risk managers in all queries related to VaR and other portfolio risk metrics.
• Test production systems for VaR model changes, system migrations and new products.
• Liaise with key business stakeholders on Market Risk Model changes.
• Understand local and global regulatory requirements and be aware of market environment / practices that will impact portfolio risk metrics.

Skills and Experience

• Very strong analytical and mathematical skills.
• Experience in developing mathematical models in finance as a Risk, Front Office, or Model Validation function.
• Experience in coding in Python, in C++, and potentially in functional languages (e.g. Haskell).
• Excellent communication and writing skills.
• At least MSc in mathematics, physics, finance or engineering. PhD preferred.
• Around 6 to 10 years of experience in a quantitative role, preferably in finance.

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.