Central Bank jobs

dlod47

Has anyone else applied for the Quantitative Risk Analyst positions advertised recently by the Central Bank?

http://tinyurl.com/pe76kvl

I thought it seemed quite interesting but it wasn't clear how many positions there were available. I have an interview this week (only found out today) and I'm not too sure what to expect.

Presuming I'll need to show a general awareness of the how the Central Bank regulates Irish banks, but not sure in how much detail? Job spec doesn't specifically require a financial background so I'm hoping not too much is required.

Any thoughts on this?

Chazz Michael Michaels

Basel II and Basel III, CRD IV for the regulatory side.

en.wikipedia.org/wiki/Basel_II (this is the current system of governance)
en.wikipedia.org/wiki/Basel_III (the incoming system)
en.wikipedia.org/wiki/Capital_Requirements_Directive (something like a contract between banks and the ecb enforcing the above)

You won't be expected to know these in detail, but if you can show you've read them, it shows initiative.

Do you know much statistics? Database tools? Languages like SQL?

dlod47

Cheers for the links - will have a look over that material today.

My background is Physics / Applied Maths so I've picked up a lot stats concepts over the years even though I don't have any formal statistics training.

As for database tools I can write simple SQL queries and would be confident of becoming a bit more proficient with it on the job. I've spent a lot of time using Matlab and that was one of the things they were looking for as well, so hopefully that will come in useful during the interview.

Do you know if the Central Bank will be involved in carrying out the ECB stress tests that are planned for some time this year?

Chazz Michael Michaels

dlod47 wrote: »

Cheers for the links - will have a look over that material today.

My background is Physics / Applied Maths so I've picked up a lot stats concepts over the years even though I don't have any formal statistics training.

As for database tools I can write simple SQL queries and would be confident of becoming a bit more proficient with it on the job. I've spent a lot of time using Matlab and that was one of the things they were looking for as well, so hopefully that will come in useful during the interview.

Do you know if the Central Bank will be involved in carrying out the ECB stress tests that are planned for some time this year?

Sounds like you are a good candidate then.

They will be involved in a supervisory role, but the banks themselves do the bulk of the analytical work.

As well as reading the Basel II articles, try to click through to the articles regarding Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD). Of the three pillars of Basel II, one is Credit Risk, which is my area. Calculating Unexpected Loss dominates that pillar (and most of Basel II, to be fair), and the basic formula is UL: PD X LGD X EAD. So maybe have a rough idea of what they mean and how they are estimated using models.

dlod47

As someone who is working in Credit Risk at the moment, what is your opinion on this position at the Central Bank?

I thought it would be a good place to get my first exposure to banking and the financial services sector in general, especially since I'm coming from a non-finance background and don't have work experience in that area. Seems like a decent opportunity to me, but would be good to hear the view from someone already working in a similar area!

Chazz Michael Michaels

dlod47 wrote: »

As someone who is working in Credit Risk at the moment, what is your opinion on this position at the Central Bank?

I thought it would be a good place to get my first exposure to banking and the financial services sector in general, especially since I'm coming from a non-finance background and don't have work experience in that area. Seems like a decent opportunity to me, but would be good to hear the view from someone already working in a similar area!

I don't know what you will be doing exactly. I know that the CB have access to our reports and models, and can make recommendations and actions, etc. So I would presume that your team might look at our methods of, say, calculating PD for retail mortgages, and perform your own analysis. But I have my doubts as to whether that really happens, as there are a number of banks, times a number of models. I believe the risk analytics team in the CB is quite small, so maybe you work on aggregate macro style analysis, as opposed to deeper level stuff, like I do. But, like I said, I have no real idea.

But yeah, its a good job to start with, it really depends what your ambitions are.

freeze4real

The position is an entry level one, any idea of the salary range ?

Chazz Michael Michaels

freeze4real wrote: »

The position is an entry level one, any idea of the salary range ?

Bank Officer level, any pay scales online?

dlod47

I've found it hard to find any Bank Officer pay scales online, but I was expecting this would be on a par with similar Civil Service entry level positions, so maybe around 30K per year? Is this a realistic estimate?

Chazz Michael Michaels

dlod47 wrote: »

I've found it hard to find any Bank Officer pay scales online, but I was expecting this would be on a par with similar Civil Service entry level positions, so maybe around 30K per year? Is this a realistic estimate?

I'd imagine so

dlod47

Chazz Michael Michaels wrote: »

I don't know what you will be doing exactly. I know that the CB have access to our reports and models, and can make recommendations and actions, etc. So I would presume that your team might look at our methods of, say, calculating PD for retail mortgages, and perform your own analysis.

I was curious as to how you actually go and calculate PD, for retail mortages or any other financial instruments. Would you look at historical data on default rates for instruments with similar characteristics to the ones you are valuing?

I've had a look into PD, LGD and EAD and have a feel for what they are and what they would imply for a bank's balance sheet, but I'm not clear how you would come up with the numbers for each?

Thanks again for the earlier links btw

Chazz Michael Michaels

dlod47 wrote: »

I was curious as to how you actually go and calculate PD, for retail mortages or any other financial instruments. Would you look at historical data on default rates for instruments with similar characteristics to the ones you are valuing?

I've had a look into PD, LGD and EAD and have a feel for what they are and what they would imply for a bank's balance sheet, but I'm not clear how you would come up with the numbers for each?

Thanks again for the earlier links btw

PD = 1/(1+e(intercept+slope*score))

So, what is score? Well, let's begin with the assumption that score is negatively related to the default rate, monotonically. So as score increases, the default rate decreases.

Now, what is score comprised of? Well, it is the sum (or weighted sum) of individual factor scores. Such a factor might be salary, people who earn more are less likely to default (most of the time), and thus get a high factor score. Other factors might be geographical location, sector of work, loan to value ratio, etc. Multi factor logistical regression analysis helps you to determine whether they are statistically significant, and to assign weights.

The intercept and slope can now be calculated, using a variety of methods, something like Ordinary Least Squares can work.

That's a simple explanation, but its how you calculate pd.

dlod47

Found this from an earlier post on grad recruitment in 2010

The Bank Officer grade is the basic recruitment grade....

Examples of the type of work done by Bank Officers
• Administration/Secretarial duties/data input on computer database.
• Maintenance of Filing Systems, Stationery Supplies, postbooks.
• Processing routine requests for information from supervised entities and members of the public.
• Preparation of tables and charts for inclusion in the CBFSAI’s quarterly bulletin.
• Preparing briefing notes for meetings, attendance at meetings, taking minutes, preparation and typing of reports.
• Preparation of statistical returns for European Central Bank and other agencies.
• Processing of foreign currency payments abroad.
• Liasing with travel agents re business travel.
• Liasing with printers, media re CBFSAI/Financial Regulator publications.
• Carry out research as required e.g. of files, news media, using Internet, Email etc.
• Dealing with consumer queries

Salary Scale

€22,809- €24,916- €27,026* - €28,570- €30,122- €31,666- €33,218-
€34,762- €36,309- €39,000.
* Starting salary for holders of primary degree/equivalent qualification. (Bank Officers who start at €22,809 are awarded two increments on achieving a recognised degree/qualification).

Opportunities to Progress

Bank Officers are eligible to apply for promotion in Bank Executive competitions after completing one year’s service. Officers with relevant qualifications are awarded points in promotion competitions.

I don't know if these scales have changed in the last few years, but presume they would apply to the quant risk role as well since they specifically state they are hiring at that level.

Can anyone shed any light on what recent graduates have started on?

freeze4real

Did you get the job in the end ?

dlod47

nope didn't get it, I didn't interview very well so wasn't totally surprising.

They wouldn't give me any feedback on my application / interview either, which was frustrating.

Cooper07

I used to work on this team so feel free to PM me with any questions.

There are a number of vacancies on the team of varying levels.

freeze4real

PM sent. Thanks