Credit Risk Modeller recruitment
Credit Risk Modeller (PD, LGD, EAD)
The Company:
Our client is a leading and well recognised global investment bank who is currently in need of a credit risk modeller / Quant analyst to work in their Canary Wharf office.
The Role:
This position is for an experienced Quantitative Analyst / Credit Risk Modeller - with experience in Investment Banking especially with good products knowledge. To develop, validate document default probability (PD), loss given default (LGD) and exposure at default (EAD) models (behavioural scoring, credit grading and expert lender models) in line with Basel II. To calibrate PD models dynamically (point-in-time through-the-cycle). To produce analyses to set input values for impairment calculations. To analyse and report on the performance EAD LGD models on a regular basis (MI production and database management), including investigating ad hoc queries.
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In addition to the description above the must suitable candidate will also have the following:
- Investment banking experience
- A good understanding of all credit risk types of Credit Risk models (PD, LGD EAD) and the use of these models in a regulated environment.
- Good understanding of Basel II or FSA requirements of the Pillar I AIRB approach to risk measurement.
- Good understanding of A-IRB Capital Calculation Process.
- Strong understanding of non-statistical methods can be used for model development (e.g. expert lender models), as well as the application of statistical methods to Low Default Portfolios
- Good level of programming ability
- Strong understanding of structured reporting platforms such as SQL SAS and also the ability to develop new reporting structures.
- Experience in the use statistical packages such as SAS, Matlab, palisade, in order to perform analysis.
- Exceptional communication skills.
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This is a very exciting opportunity. If you meet the requirements for this position please apply following the link provided or direct cmensah@mcgregor-boyall.com