Assistant Vice President, Credit Risk & Capital Strategies

About the role

Group Strategic Analytics (GSA) sits within the Group Chief Operation Office, which links the Bank's businesses with its infrastructure functions. As Assistant Vice President in Credit Risk & Capital Strategies, you will design and implement credit risk-related calculations and reporting that underpins the allocation of constrained resources and capital efficiency programmes.

Key responsibilities

• Analyse and implement regulatory and internal calculations and reporting, working closely with Risk, Finance and other stakeholders.
• Build prototypes and what-if analyses for capital planning and help redesign the calculation platform.
• Use credit risk parameter model outputs (PD, LGD, CCF) to build and implement counterparty credit risk calculations on the system.
• Advise stakeholders on Credit Risk RWA and other key risk metrics.
• Design incentive structures for businesses around financial resource consumption, allocation and capital optimisation.
• Align Front Office, Credit Risk Management and Finance on financial resource calculations.

Required profile

• Understanding of banking businesses and products or accounting rules.
• In-depth knowledge of European banking regulations and accounting standards (CRR, IFRS 9) and reporting frameworks (COREP, FINREP, AnaCredit).
• Strong understanding of capital requirements for credit risk and counterparty credit risk parameter models (PD, LGD, CCF).
• Experience with data models and designing new calculation processes.
• Excellent written and verbal communication in English.
• Proven ability to use AI tools productively and ethically.

Required skills

• Strong quantitative and analytical skills.
• C++ or Python in production-like environments.
• Knowledge of financial products/derivatives, bank balance sheet accounting, and preferably CFA or FRM.

What we offer

• Best-in-class leave policy and gender-neutral parental leave.
• 100% reimbursement for childcare assistance and sponsorship for industry-relevant certifications and education.
• Employee Assistance Programme, hospitalisation insurance for dependents, accident and term life insurance, and health screening for those aged 35 and above.
• Training, coaching and a culture of continuous learning.