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Credit Risk Model Management

  • Job type: Permanent
  • Location: London
  • Salary: Competitive
  • Job reference: JH44
  • Sector: Banking and Finance, Selby Jennings, Quantitative Finance
  • Date posted: 22/01/2018
Credit Risk Model Management 

A leading European Investment bank are looking for a Senior Credit Risk Modelling expert to join their function in London.They must have experience developing wholesale credit risk models (PD, LGD, EAD). The candidate will need to have exposure to IFRS 9, have excellent communication skills and management experience. The role will extend as the team gradually expands during 2018. The role will initially involve more project management opportunities, however as the team expands, the role will develop into more man-management. Therefore a great opportunity to develop your skills whilst starting your own team. 

Responsibilities

  • Work on wholesale credit risk model development and validation for models such as PD, LGD, EAD models
  • Work on wholesale portfolio models; exposure to receivables finance portfolio 
  • Work with Credit Risk analytics/quant modelling teams
  • Understand and improve the existing processes to gain efficiency
  • Used tools such as SAS, R, SQL, and Matlab
Experience 
  • 5-7 years of relevant experience
  • Engineering or post-graduate in business/ statistics/ mathematics/ economics/ other quantitative disciplines from top tier institutes.
  • Strong credit risk analytics and model development and validation skills
  • Strong exposure to wholesale portfolios
  • Skills: SAS/SQL, MS Office (Excel, Access, PowerPoint), VBA, R, Matlab
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