Senior credit portfolio modelling/ pricing analyst recruitment
The Credit Portfolio Modelling Pricing is part of the Quantitative Risk Management department that reports to the CRO. This department develops all the models in terms of risk, both in terms of the exposure and the portfolio.
The Credit Portfolio Modelling Pricing is mainly active in three areas:
Credit portfolios modelling
The team is responsible for the development of models and the development of internal tools to calculate the overall credit risk related to the assets of the bank.
Credit pricing
The team is responsible for developing valuation models for illiquid bonds ('mark-to-model') and more complex credit products such as credit derivatives and CDOs.
Modelling of securitization products
The team develops models for cash flow securitization products.
Description of the position:
improve existing models for risk and meet new quantitative demands
contribute to the implementation of these models
collaborate to the adjustment of the input parameters, gather and organize data used to the product or portfolio models which are applied.
perform specific calculations and analysis at the forefront of results
provide quality documentation.
explain and defend the models and tools with management, colleagues, internal/ external control
manage projects and be the primary contact
Description of the profile:
Masters degree in (Applied) Economics or a quantitative analysis-orientated degree (statistics, maths, physics, engineering,
)
+3 years experience in risk management and model development, preferably in the above mentioned.
Computing skills: Matlab (or R), Java, Visual Basic
Knowledge of Linux Shell scripting, grid computing, SQL and ABS tools cash flow language is a plus.
Capable of quickly assimilating complex technical ideas.
Self-starter, creative, innovative.
If you are interested please call Alexandre Jacobs on 02/557.71.88 and send your CV to a.jacobsAThuxley.com