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Credit Risk Quant AVP - Banking - London

Job Title: Credit Risk Quant AVP - Banking - London
Contract Type: Permanent
Location: London, England
Industry:
Salary: £60000.00 - £70000.00 per annum
Reference: BBBH21864_1565081470
Contact Name: Victoria Gbadebo
Contact Email: victoria.gbadebo@twentyrecruitment.com
Job Published: August 06, 2019 09:51

Job Description

Summary

Twenty Financial Services are currently looking for a Wholesale Credit Risk Quant AVP for a leading international bank. The role looks at the development and validation of credit risk models using the Basel II framework and the management of credit risk portfolios.

Key Responsibilities

  • Supporting the portfolio management team to develop Wholesale Credit Risk models
  • Working on Basel II risk estimates such as PD, LGD, CCF and EAD
  • Stress-testing credit portfolios
  • Ad hoc model exercises for deep dive analysis

Key Skills

  • Credit Risk model validation or development experience
  • Knowledge of Basel II frameworks i.e. PD, EAD and LGD
  • Strong quantitative experience with a degree in a numerical discipline i.e. Mathematics, Economics, Physics
  • R is referred, however, high proficiency in another programming language, such as Python, MATLAB, SAS, will also be considered

If this sounds like the right opportunity for you, please get in touch with Victoria Gbadebo at Twenty Financial Services