Global investment bank seeks AVP level Credit Risk Quant as part of their expanding Portfolio Modelling team.
Work in conjunction with Global Portfolio Analytics desk and Global Stress test teams for the enhancement of firm wide global credit risk models.
SKILLS AND EXPERIENCE
Functional / Technical Competencies:
* Strong quantitative skills, with a degree in a numerate discipline, and proven skills in data driven analysis and statistical or mathematical modelling.
* Good Knowledge of statistical language skills such as R, Matlab, Python or SAS.
* Prior experience of building credit risk models
* A good knowledge of different Credit modelling techniques and familiarity with different credit risk models (their use case and objectives).
* Basic understanding of financial products
* Good knowledge of Credit Risk Management and various Credit Risk measurement techniques
* Knowledge of Regulatory (Basel) capital framework
* Working knowledge of MS office products (esp. MS PowerPoint, MS Access)
* Good communication skills - Ability to present and communicate technical features and analysis in a clear and concise manner.
* Prior experience of working on a Stress test / Risk Appetite project
* Knowledge of Economic Capital Framework using Moody's Risk Frontier / EDF
* A basic knowledge of Counterparty Credit risk for Derivatives
* Experience of working in the banking sector (Essential)
* Experience of working in Credit Modelling area. (Essential)
Education / Qualifications:
* Degree in some numeric discipline e.g. Math, Economics, Business, Statistics
Morgan McKinley is acting as an Employment Agency in relation to this vacancy.
Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.