Quantitative Analyst – Capital and Credit Risk Modelling recruitment
Role Details:
• Review all methodologies related to PD, EAD LGD, stress testing and RAROE.
• Undertake model prototyping.
• Participate in model and methodology presentations to the regulators and model users.
• Write clear, accurate model build and validation documentation.
• Ensure all model development complies with regulatory and internal policy requirements.
• Assist with developing a tactical SAS solution to support model estimation.
Qualifications Essential Skills Needed:
• Strong mathematical/statistical or economics post graduate degree or certification, e.g. MSC, MBA, or CFA.
• Numerate, mathematical/statistical, economics or finance PhD preferred, ideally with a thesis.
• Strong understanding of credit risk model quantification.
• Good working knowledge of advanced statistical packages, including coding in, SAS or TSP, MS Access, MS Excel, MS VBA..
• Experience with external rating agency data sets.
If you feel you have the required skill set for the advertised job please send your CV to deepan@bsmassociates.co.uk or apply via the E Financial “Apply Online” function below. Any questions regarding the role, please don’t hesitate to call me on 02070169913.