Credit Risk Modeller/Quant - Investment Bank

London  ‐ Onsite
This project has been archived and is not accepting more applications.
Browse open projects on our job board.

Description

Credit Risk Modeller/Quant - Investment Bank.

A leading investment bank are improving their credit risk models and have a fantastic opportunity for a Credit Risk Modeller to play a key role in improving their internal ratings based Models.

As a Credit Risk Modeller/Quant you will be responsible for supporting the development of internal ratings based credit models for a non-retail portfolio, including low default models, covering PD, LGD and EAD. This will involve developing and validating models for major European banks as well as utilising programming skills.

You should apply for this role if you are/have:

  • Extensive credit risk modelling experience within an investment banking context
  • Strong understanding of internal ratings based models (PD, LGD, EAD models)
  • Experience with credit risk of non-retail portfolios for a European bank
  • Understanding of CRR and other requirements for IRB models
  • Programming experience in SAS, SQL MatLAb, R or related
  • Degree educated or higher

This is an £800-£1000/day role based London with travel for six months.

Start date
n.a
From
Alexander Ash Consulting Ltd
Published at
23.10.2018
Project ID:
1653617
Contract type
Freelance
To apply to this project you must log in.
Register