Quantitative Analyst, Credit Portfolio Modelling recruitment
The team undertakes credit portfolio modelling CPM, risk-return performance assessment, loan fair valuation and hedging analysis, building credit portfolio models.
Technical credit risk aspects of their work includes (e.g. loan fair valuation, RAIR, RAROC methodology, Hurdle Rates, etc). They design, build and manage a full range of credit portfolio models as required.
Your experience should cover version control, testing and documentation, loan pricing and Economic Profit Calculator, validation of all new models, risk transfer / reduction techniques, Portfolio Optimisation, portfolio credit risk measurement, and structured credit securities.
THE Candidate:
3 to 5 years of experience in credit portfolio management or quantitative credit research. one or more of the following areas is required:
• Loan pricing and risk adjusted performance measurement
• Structured credit products (cash / synthetic CLOs, ABS) and credit market instruments (e.g. iTraxx, ABX, LevX)
• Credit portfolio modelling and/or economic capital allocation
• Loan/credit portfolio strategies (e.g. tactical and macro-hedging, portfolio optimisation)
Implementation of models into the Library using Matlab essential (or C++)
Contact I.T.S City
To talk directly with us to discuss this vacancy and the client, please contact Gary Williams on:
Email: gary@its-city.com
Direct Line: +44 (0) 203 283 4097