ABS Credit risk modelling recruitment
A London based ABS research team who are associated with a global asset manager are looking for a statistical quantitative researcher with top tier model building skills to focus on ABS credit risk modelling.
Responsibilities include:
Analyzing historical data to determine the drivers of prepayment, default and loss given default
Creating forecasting models to predict ABS cash flows.
They are looking for someone to drive the analysis and modelling process, suggesting ways to improve the current analytics as well as mapping the direction of future analytics development.
Salary range depending on experience plus healthcare benefits.
Requirements:
- Strong background in statistics from experience / post-graduate statistical education.
- Knowledge of ABS credit preferred.
- Preference of proficiency in SAS, Matlab, SQL and VBA
