Quantitative Credit Risk Analyst - Investment Banking - City, London, United Kingdom, EC1A2
Quantitative Credit Risk Analyst - Investment Banking - 6 to 9 Month Contract - up to £650 per day
A leading global Investment Banking and Securities organisation in London, are searching for a highly effective Quantitative Credit Risk Analyst, to join them for a 6 to 9 month contract role, details as follows:
Main Purpose of the Role :
The main purpose of this role is to support the Portfolio Management team, to develop credit risk models to predict risk estimates such as PD, EAD, and LGD and operational models to support credit risk decisions. Areas the models will be used in include:
- Economic Capital Calculation
- Regulatory Capital Calculation
- Stress Testing
- Origination Decisioning
In this role, you will be responsible for undertaking various activities and tasks of Portfolio Management and Analysis, across the banking and securities business You will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority. The responsibilities can be broken down, as follows -
- Build, validate, document, implement and enhance credit risk models for estimating risk parameters such as PD, LGD, CCF and EAD.
- Maintain and enhance credit risk models and stress testing suite that are currently used in Stress testing.
- Conduct Stress Testing for the Credit Portfolio based upon different stress scenarios developed for Integrated Stress Exercise.
- Maintain and enhance the inputs used in Economic Capital (EC) model.
- Define and specify key data requirements to support modelling approaches.
- Document "technical manual", modelling choices made and model methodology considerations.
- Undertake various ad-hoc modelling exercises to help the Portfolio management team in conducting deep dive analysis of various segments of the credit portfolio.
- Conduct detailed analytical work, with a high level of accuracy, in response to requests from Senior management and contribute to the management and education of enhanced credit risk approaches.
- Prepare and present high quality analytical papers for senior management and committees. Contribute to the management and education of enhanced credit risk approaches.
- Work in conjunction with Global Portfolio Analytics desk and Global Stress test teams, for the enhancement of firm-wide global credit risk models.
Skills and Experience:
- Strong quantitative skills, with a degree in a numerate discipline, and proven skills in data driven analysis and statistical or mathematical modelling.
- Good Knowledge of statistical language skills such as R, MATLAB, Python or SAS.
- Prior experience of building credit risk models
- A good knowledge of different Credit modelling techniques and familiarity with different credit risk models (their uses and objectives).
- Basic understanding of financial products
- Good knowledge of Credit Risk Management and various Credit Risk measurement techniques
- Knowledge of Regulatory (Basel) capital framework
- Working knowledge of MS office products (esp. MS PowerPoint, MS Access)
- Good communication skills - Ability to present and communicate technical features and analysis in a clear and concise manner.
- Prior experience of working on a Stress test / Risk Appetite project
- Knowledge of Economic Capital Framework using Moody's Risk Frontier / EDF
- A basic knowledge of Counterparty Credit risk for Derivatives
- Experience of working in the Banking sector (Essential)
- Experience of working in the Credit Modelling area. (Essential)
Interested? Apply now