Credit Quant
THE COMPANY:
- Our client is a well regarded corporate bank based in the City. They are seeking an experienced Credit Risk Quantitative Analyst to assist in the development, validation and regular review of Internal Rating Based models.
RESPONSIBILITIES:
To play an active role in the development, validation and regular review of Internal Rating Based models for estimation of credit risk parameters – primarily PD. In addition to the modelling work, the role will also involve significant participation in stress testing and portfolio analysis reporting.
Model Validation:
- Perform independent PD model validation across different asset classes covering validations for new models, model changes and annual validation.
- Present the validation results to an approval committee relevant to the model’s materiality.
- Produce model validation and performance reports to the required internal standard.
- Undertake model performance monitoring activities on a regular basis and produce associated reports.
- Enhance the current model validation framework in line with industry best practice.
Stress Testing:
- Undertake regular and ad hoc stress tests including Pillar 1, Pillar 2 and reverse stress testing for the bank’s portfolio. Analysis interpretation of stress test results.
- Maintain stress testing documents to the required internal standard.
- Develop new stress testing methodologies/techniques to satisfy new requirements from internal management and the regulators.
Portfolio Analysis and Reporting
- Produce portfolio analytics covering capital contribution for both Economic Capital and Regulatory Capital, portfolio optimisation and obligor selection for hedging purpose.
- Produce easily understandable reports to senior management covering complex technical issues.
- Risk Report preparation including Basel II / III reporting, Hands-on experience of Financial modelling and Quantitative Analysis, and Presentation to wide audiences. Experience of the discussion on the PD model with the regulator has an advantage.
EXPERIENCE REQUIRED
- Experience working within the credit quants function of a corporate/investment bank
- Educated to at least MSc level in a financial/mathematical discipline
- Additional relevant professional qualifications are desirable
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