VP- Credit Quants recruitment
THE COMPANY:
- Our client is the Corporate Banking arm of a global financial group. Headquartered in London, the team analyse global portfolios. They are seeking an experienced Credit quant to assist with asset valuation and portfolio analysis.
RESPONSIBILITES:
- Fixed rate loan and derivative valuation
- Support the optimisation team through the evaluation and implementation of technology driven solutions to meet evolving business needs
- Prepare portfolio analysis to help inform efficient decision processes
- Run stress and scenario analysis
- Identify trends, developments, and information anomalies using internal and external market data and present those succinctly and effectively
EXPERIENCE REQUIRED:
- Knowledge of interest rate derivatives and valuation techniques (including their sensitivities), counterparty credit risk and understanding of the interplay between capital, funding and liquidity
- Ability to build innovative solutions including (but not limited to) developing C#/VB/VBA in house apps to solve optimisation problems, the ability to use/learn third party applications such as Matlab/R and creating and using SQL instances to analyse large data sets.
- Understanding of credit risk modelling (PD, LGD, EAD and correlation) - including the regulatory BASEL I/II/III framework
- MSc or PhD in either Econometrics, Physics, Mathematics preferred
May 19, 2012
• Tags: Risk Management careers in the UK, VP- Credit Quants recruitment • Posted in: Financial