Credit Risk Quant – VP Level
- Job Type:
- London, United Kingdom
- Base: £100k+, Bonus
- 020 7871 4482
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.
- 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