Description
A Global Top Tier Bank is looking to recruit a Quantitative Analyst for their Valuation Control Team in London.
Responsibilities:
Perform monthly impairment analysis of asset-backed securities, along with evaluating any potential and actual credit losses with particular emphasis on RMBS, CMBS, CDO and student loan structures, perform IPV analysis of ABS assets held globally and ensure that these are appropriately valued with respect to current best practice and Accounting Standards, continually develop the expected loss and pricing models, provide cover for the majority of other Valuation Control team members
Education & Experience
- Top grade A levels (or equivalent)
- Mathematics or technical degree (or equivalent)
- Demonstrable knowledge from a modelling and/or risk assessment group
- Working knowledge of Intex, Trepp, Moody's and other market valuation systems
Skills
- Good working knowledge of asset-backed securities
- Detailed knowledge of curve fitting techniques, probability and statistics. This should include in-depth knowledge of Markov chains and Monte-Carlo processes.
- Strong analytical skills
- Excellent communication skills including report writing
- Good inter-personal skills
- Good VBA skills