Role details

Quantitative Credit Risk Modelling

London   •  Permanent

Bullet points

  • Involved in risk model development and validation for retail markets
  • Involved in the review of capital and risk stress testing

About Our Client

Banking client

Job Description

Responsible for the development and maintenance of credit risk models (retail/wholesale/structured products).

Responsible to lead the full model development cycle, providing recommendations, producing reports and presenting results to senior management

Act as an advisor to other areas of the organisation on wider risk modelling issues such as provision and stress testing models.

Review credit risk capital requirement stress test results as part of the stress test process.

Develop thinking on "best practice" in the area of credit risk modelling

The Successful Applicant

Proven quantitative skills: qualified ideally to MSc equivalent or higher level in a quantitative or financial discipline.

Strong experience with credit risk modelling techniques and understanding of Retail, Wholesale and structured products.

Extensive experience in developing PD/LGD models for regulatory and stress testing purposes.

Proven ability to create working prototypes of models in environments such as Excel VBA, R, Matlab, SAS or equivalent.

Experience in applying econometric specifications to risk models used in capital setting processes as part of stress testing.

Experience with risk data management and prudent data handling practices.

Experience in model implementation and model management activities.

What's on Offer

Permanent role looking for candidates from associate through to director level. Salary dependent on level. Competitive benefits package

Apply for this job

Click the Apply or LinkedIn button below or contact Tim Barnett on +44 207 776 5926 quoting job reference 13757614
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