Quantitative Analyst required to help integrate an array of new data sources to aid in the delivery of complex risk models across the corporate and investment bank for Tier 1 Banking Pillar. This role sits as part of a high profile team exploring an array of quantitative models across asset classes including interest rates, credit, equity, foreign exchange, commodities and counterparty risk. I am looking to speak to Analysts/Developers who have experience within both integration and the credit risk modelling process and
Key Requirements for the role include
- Expertise in Data Mining to integrate new external data feeds from source systems.
- Expert knowledge of R and SQL.
- Process data from new feeds through transformations or mergers of data tables.
- Knowledge of models including capital, impairment and stress testing.
- Ability to validate new data sources to ensure data can be utilised in conjunction with the variety of models used by the team; ratio transformations, merging data tables, data processing tests.
- Knowledge of regulations, IFRS9 highly desirable.
- Expertise in wholesale PD, LGD and EAD.
- Educated within a highly Quantitative Discipline.
- Expert in R (Preferably) or Python
- SQL (Teradata, SQL Server)
Please get in touch to find out more about this opportunity or to discuss your career and options in further details.