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Credit Risk Modeller – Rating Model

  • : £60,000 - £70,000
  • : Permanent
  • : London
  • : Global Bank

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Quant Credit Risk Rating Model modelling SAS R SQL Python Matlab



Job Specification

My client is looking for a highly motivated and dedicated junior quant for its Model Validation team in London. We are looking for individuals with a strong quantitative aptitude and wholesale credit risk modelling skill set. It is essential to have an eye for detail and ability to quickly learn as needed.
Key responsibilities

  • Provide initial and periodic validation, review and challenge of Credit Risk models across both trading and banking books
  • Quantitative analysis and review of the model frameworks, assumptions, data, and results
  • Designing, modelling and prototyping challenger models where required  
  • Testing models numerical implementations and reviewing documentations •
  • Documentation of analysis with in validation reports, including recommendations for model improvements
  • Understand and improve the existing processes to gain efficiency
  • Use tools such as SAS, R, SQL, Python and Matlab to develop and validate quantitative models using large or small data sources
  • Deliver end solution maintaining high quality standards and quick turnaround times

Required Background

  • Minimum of 18 months experience in implementing or validation credit risk model models including but not limited to IRB, AIRB, PD/LGD/EAD
  • A quantitative degree at minimum Master level.      
  • Strong exposure to wholesale portfolios
  • Good knowledge of applicable regulations
  • Strong verbal and written communication skills
  • Working experience R, SAS and of Python
  • C++ or C# would be advantageous
  • Must have UK working rights

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