Description
My client, a global investment bank, is urgently seeking a quantitative analyst.Main Responsibilities:
- Contribute to methodology and implementation of Incremental Risk Charge (IRC) methodology to extend this to an additional jurisdiction, aiming to this implemented by summer 2015.
- Research and develop methodology and implementation algorithms.
- Prototype development.
- IT specification and coordination for implementation.
Relevant Experience:
- PhD or Master's degree in a quantitative subject, ideally with a strong curriculum in statistics/econometrics, quantitative finance or similar.
- Solid understanding of risk modelling in credit risk and/or financial markets in general.
- Work experience in credit risk modelling, ideally in Incremental Risk Charge or credit portfolio methodology.
- Understanding of the Basel II Accord and the background to the IRC requirement.
- Ability to communicate logically and precisely, including writing rigorous and clear model documentation.
If you are interested in the role please submit your CV as soon as possible.