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Intern - Quantitative Risk Management

Effective Corporate Solutions

جولائی ۰۹, ۲۰۱۹ شائع ہوئی

Effective Corporate Solutions (ECS) is hiring talented young people for the development of state of art, end to end stress testing tool for international banking sector

About Us

ECS was founded in early 2017. The company is registered in Pakistan with its office in Lahore and a sister concern in UK.

ECS has two lines of business:

a. Development of Advanced Analytics Technology Solutions (AATS) for financial institutions (banks, insurance companies and asset managers), especially in the area of risk management

b. FITS (Financial Institutions Technology Support) – provision of implementation, consulting and technology services for financial institutions.

In the first phase, AATS is focused on the development of a comprehensive stress testing solution for banks. Development is ongoing. The goal is to complete product development by the end of 2019. Subsequent phases will focus on other aspects of risk management and advanced analytics.

Stress testing is a very comprehensive risk management tool and it is a regulatory requirement in many countries. It brings together many aspects of risk management and financial planning. In essence stress testing requires the forecasting of a financial institution’s financial statements and regulatory metrics in severe macroeconomic or other stress scenarios.

ECS offers

Challenging, friendly & professional environment with plenty of learning of opportunities in risk management and banking.
Work with industry piloting technologies & opportunity to grow with the company.

About the Role

Title: Quant intern (leading to a permanent job)

Job Objective: Design and implementation of statistical models (in financial and regulatory reporting)

Main Responsibilities:

1.     Support senior team members in the following activities.

2.     Finding relevant datasets in the public domain

3.     Creation of mock data where public information is not available

4.     Building a test library of models from examples provided in a software package

5.     Development of statistical models (eg simple regression, logistic regression, discriminant analysis, etc) to quantify relationships between macroeconomic and relevant financial variables, eg GDP vs default rates, exchange rate vs cost of equipment, etc

6.     Writing clear documentation that describes development and validation for each model, including details of tests conducted

7.     Systematic building of proprietary model library

8.     Not a must but good to develop an understanding of:

9.     Regulatory reporting requirements for banks across geographies (Pakistan, UK, Europe, US) via Pillar 3 reports and submissions to the regulator (where available). This will include templates such as CAR of SBP, COREP, CCAR, etc.

10.   Stress testing requirements of central banks.

About You

Education required: MSc or PhD in Statistics or other relevant subject.

Experience required:

None
Desirable: any work experience using statistics (in a government, educational or private institution)

Requirements

·          Sound knowledge of statistics and underlying probability theory

·          Familiarity with statistical software packages (eg Python, R, Splus, SPSS, SAS, Stata)

·          Python is the preferred choice (but not a must)

·          Good R&D skills

·          Good communication skills

·          Desire to increase knowledge and learn new skills
Understanding of risk management and financial capital planning and stress testing (desirable).