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ICAAP and Capital Modelling Lead

ICAAP and Capital Modelling Lead

  • Location

    City of London

  • Sector:


  • Job type:


  • Salary:

    £100000.00 - £120000 per annum

  • Contact:

    Raj Basra

  • Contact email:

  • Job ref:


  • Published:

    12 days ago

  • Consultant:

    Raj Basra

ICAAP and Capital Modelling Lead| Banking | WFH / London | Permanent

Finitas are delighted to support a leading bank in their search for a ICAAP and Capital Modelling Lead to join their team.

Responsibilities include:

  • Map the model landscape and data flows, and define controls through industry best practice
  • Identify opportunities and build models to optimise capital
  • Show in-depth knowledge of calculating capital buffers and Pillar 2 risks under PRA regulation
  • Prepare forecasting returns (e.g. PRA102, MREL002 and Leverage Exposure)
  • Prepare the ICAAP for multiple stress scenarios pre and post management actions
  • Prepare template submissions alongside the ICAAP for the PRA (FSA071-FSA082 and PRA111)
  • Maintain and improve a strong control framework
  • Establish standardised approaches and best practice modelling that can be rolled out to other entities in EMEA outside of the UK
  • Assist the broader ICAAP team in terms of production, drafting of reports and general project management of ICAAPs
  • Participation in ICAAP communications to EMEA staff

Experience required:

  • Experience in ICAAP balance sheet and capital modelling for a bank under PRA regulation
  • Bring in your expertise to enhance the capital model covering baseline and stress testing, integrate PPNR and risk model outputs into the capital model
  • Strong knowledge of at least one Pillar 1 risk is essential
  • Strong communicator - both written and verbal and the ability to engage with stakeholders using the English language
  • Strong Microsoft Office Skills in particular MS Excel

They are offering a competitive salary + up to 20% discretionary bonus & other benefits. Please note you will be required to travel to their London office twice a week.

This is an urgent requirement, so they are able to interview & offer the role before the end of January 2022. So, if you're interested, please submit your CV now! Or alternatively, please get in touch with Raj on 02038079714 / r.basra @