Credit Risk Model Validation Analyst - Investment Bank

Credit Risk Model Validation Analyst - Investment Bank

We are looking for a Quantitative Model Validation Analyst to join a highly regarded team responsible for the development and validation of firm wide methodology that deals with credit and counterparty risk.
The person will work within a team of roughly 10 quantitative analysts on research, development and deployment of cutting-edge credit and portfolio loss/PD models.

These models cover a broad range of methodologies, including implying risk parameters from market variables, distribution fitting, time series analysis, multivariate statistics, and will also include coding in C/C++ and R.

Candidates are assumed to be comfortable with manipulating large datasets and with calibrating models to underlying data.

Requirements:
Postgraduate degree candidate with a strong theoretical background in either pure/applied/statistical mathematics is strictly required.

The successful candidate must demonstrate excellent mathematical ability. They should also be able to demonstrate a knowledge of and interest in the credit risk field as well as have an understanding of the techniques applied within Credit Risk methodology.

Interaction with all key stakeholders is an important component of the role and therefore they must possess exceptional set of communication skills in addition to their quantitative skills. Deadlines are tight and the role is demanding from a time and content perspective so the candidate will be expected to be a high performing person with a capability of delivering projects to a very high quality under time pressures.

Technical requirements:

- Probability
- Statistics
- Mathematics
- Stochastic calculus
- Monte Carlo simulation
- Time series analysis
- Programming in R or Matlabl, and some experience of C/C++ required

The successful applicant will be regarded as a key member and will be encouraged to deliver as much input as possible.

To be considered for this contract position, please send your CV, ensuring that all relevant details are included.

Due to requirements of this position, only candidates with the skills/knowledge mentioned above will be considered.