Top investment bank is seeking an experienced Credit Portfolio Analytics candidate for a role in London



The Senior Analyst has responsibility for developing, delivering, validating, signing-off and supporting advanced, Basel-compliant credit models, including, Probability of Default (PD) and Ratings, Loss Given Default (LGD), Exposure to Default (EAD) and Risk-Adjusted Return on Equity (RAROE). These models are developed using strong conceptual credit risk foundations and wherever possible, they utilise advanced statistical techniques applied to detailed credit data sourced both internally and externally. Providing the businesses with transaction advice and support, acting as an expert resource in the fields of risk quantification and modelling, and working closely with other stakeholders.



You responsibilities will be:

Develop, validate, enhance, implement, document and provide ongoing expert support for advanced GBM credit risk models and methodologies.
Manage a small team of quantitative analysts as Team Leader to deliver a subset of the overall credit models and methodologies used by the bank.
Contribute to the overall development and implementation of advances in credit risk methodology generally and specifically related to point-in-time and through-the-cycle PDs and ratings and stress testing.
Provide the businesses with transaction advice and support, acting as an expert resource in the fields of risk quantification and modelling, and working closely with other stakeholders
Work with the dedicated credit risk systems implementation team to support the roll-out of tactical and strategic implementations of the various credit models and methodologies.
Advanced credit model developments and validations delivered on time and written in detailed model documentation papers
Accurate, detailed, clear and high quality model build documentation
Contribute to the team’s overall development and evolution of credit risk modelling expertise


Qualifications:

Advanced Masters degree at a minimum, preferably PhD in Mathematics, Finance, statistics or other related field
1-3 years experience in developing advanced credit models
Strong skills in initiating, developing and supporting sophisticated risk models and methodologies.
Excellent written and verbal communication with a focus on detailed and clear technical writing
Good working knowledge of Basel II concepts and broad understanding of BIPRU regulatory requirements
Some familiarity with point-in-time (PIT) and through-the-cycle (TTC) PD and rating approaches
Reasonable familiarity with key industry default and loss data from rating Agencies and other vendors
Advanced Microsoft Excel skills
Technology skills encompassing spreadsheet and database work.
Good working knowledge of advanced statistical packages such as SAS, or TSP


To apply or for more information please contact quantexotic@selbyjennings.com

http://www.selbyjennings.com

To apply: Contact:jobs@selbyjennings.com or 0207 019 4100

Selby Jennings is the foremost provider of recruitment solutions to global financial institutions across Europe, the US, Asia and the Middle East.

We work with a diverse range of clients, including investment banks, hedge funds and fund of funds, asset management, M&A, corporate finance and private equity financial consultancies and trading houses.

Covering both contingency and retained recruitment services, we offer our clients an industry leading marketing driven operation, as well as a search and selection service to ensure we access the best and most relevant pool of candidates for every assignment.

Please call a member of the team on 0207 019 4100 to find out more.