Credit Risk Modeller/Quantitative Analyst - Investment Bank

CREDIT RISK MODELLER/QUANTITATIVE ANALYST - INVESTMENT BANK

A leading investment bank are re-engineering their credit risk models and have a fantastic opportunity for a Credit Risk Modeller/Quant to validate, recalibrate and document credit risk models in line with new regulatory requirements.

As a Risk Modeller/Quantitative Analyst you will be responsible for reverse engineering credit risk technical documents, building prototype code to calibrate these models, compare performance of models based on changes or underlying datasets, and document findings to required standards.

You should apply for this role if you are/have:

- 3+ years risk modelling experience within leading financial services organisations
- Investment banking credit risk modelling experience is highly desirable
- Strong quantitative and applied statistics background (regression analysis, reject inferences etc.)
- Experience using R and/or SQL for data manipulation and data quality investigations
- Strong programming ability in R, C++, Java, SAS and/or Perl
- Credit Risk PD model experience and Moody's EDF approach knowledge beneficial
- Minimum Master's degree, preferably PhD

This is a £500-£550/day contract based London initially for six months.