Description
Credit Risk Modeler - Tier 1 Investment Bank
My client, a Tier 1 Investment Bank, is looking for a Credit Risk Modeler to join on a contract basis. The individual will preferably come from a Quantitative Development background and have good working knowledge in either R, Python or Matlab.
Key requirements:
- Develop credit risk stress testing models (70%)
- Develop PD, LGD, EAD stress testing models, managing the development through technical committees with key stakeholders.
- Validate performance of new models.
- Document new models to required standards.
- Support model use (30%)
- Support & test the model implementations.
- Maintain open dialogue with other modellers and validation teams on model developments and reviews.
- Address modelling queries from user community, looking at specific customer ratings and their calculation.
Key requirements
- Masters in a highly numerate discipline (Mathematics, Statistics, Physics, Engineering, Economics);
- PhD in a highly numerate discipline (Mathematics, Statistics, Physics, Engineering, Economics)
- Model Development background (preferred)
- Good knowledge and experience working with R, Matlab or Python.