Description
Credit Risk Model Validation Quantitative Analyst
A leading investment bank are validation their credit risk models in line with regulatory requirements and have a fantastic opportunity for a quantitative analyst to lead validation, recalibration and documentation activities.
As a Credit Risk Model Validation Quant you will be responsible for reverse engineering the banks credit risk technical documents and building prototype codes to calibrate the models, comparing performance of models based on changes of underlying datasets and documenting findings to required standards.
You should apply for this role if you are/have:
- 3+ years as a quantitative analysis within leading financial services organisations
- Experience with credit risk models, either design or validation, preferably for PD models
- Excellent knowledge of applied statistics (regression analysis, reject inference, decision trees etc.)
- Experience in data quality investigations, cleansing and manipulation in R or SQL
- Technical skills in order of priority: R, C++, Java, SAS, Perl; SQL skills beneficial
- Master's Degree, preferably PhD, in highly numerate discipline
This is an initial six month contract based London compensated at £450-£550/day