Credit Risk Quant – VP Level

Job Type:
London, United Kingdom
Base: £100k+, Bonus
020 7871 4482

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VP level Quantitative Analyst to join the Quantitative Risk Analytics Group with focus on Credit Risk models used for the banks wholesale risk-management.

Projects include Research, design and prototype risk methodologies, respecting the aims of accurately capturing the bank’s credit risk. Strong Statistics and programming experience in Python or R is mandatory.


  • Credit Risk Quant experience is ideal
  • Technical development experience in some if not all of the following models: PD, LGD, EAD, Stress Testing or Economic Capital
  • Deep understanding of Risk models and their limitations, valuation under the risk-neutral as well as physical measures, and risk management
  • A strong interest in risk management best practises, financial markets and economic developments
  • Direct Model Development experience in either SAS, Matlab, R
  • Strong interpersonal and communication skills (verbal and written).
  • Ability to work in a fast-paced environment.


  • Contributing to the development of wholesale credit risk models to be used for RWA or impairment (IFRS9) calculations (PD, EAD, LGD, Stress Testing or Economic Capital)
  • Interacting with the risk and business stakeholders to gain expertise on what is required to develop credit risk models
  • Communicating with regulators regarding the bank’s compliance with IRB requirements
  • Close cooperation with the IT teams
  • Interacting with trading desk
  • Working independently to complete projects.

Academic Background:

  • MSc or PhD in a mathematical/Quant Finance subject.
  • Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Our Client is a Tier 1 Investment bank

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  • Accepted file types: doc, docx, pdf.