Quant Analyst – Regulatory (PD, EAD, LGD) Modelling – Investment Bank recruitment
A leading British investment bank is looking for a Quantitative Analyst to work within their Credit Risk Quant function on a large Regulatory Modelling project.
The role will involve working within a team of 10 quantitative analysts on research, development and deployment of cutting-edge credit and portfolio loss models. The focus of this role is on the research and development of new Advanced Internal Rating-Based (AIRB) Models to estimate EAD, PD and LGD; previous experience of this area is essential.
This is a 6 month rolling contract based in London.
Essential requirements:
- Strong financial mathematical modelling (i.e. Stochastic Calculus, Monte Carlo, Time series analysis etc)
- Previous experience of developing and implementing regulatory models (EAD, PD, LGD)
- Programming experience in C/C++ or R or Excel/VBA-
- BSc or above in a numerical discipline
If you would like to apply for the role please send an updated copy of your CV through the link on this page or call Oliver Fawke on 0207 398 3600.