Credit Risk Quant AVP

04 Jul 2019

Global investment bank seeks AVP level Credit Risk Quant as part of their expanding Portfolio Modelling team.

  • Build, validate, document, implement and enhance credit risk models for estimating risk parameters such as PD, LGD, CCF and EAD.
  • Maintain and enhance credit risk models and stress testing suite that are currently used in Stress testing.
  • Conduct Stress Testing for the Credit Portfolio based on different stress scenarios developed for Integrated Stress Exercise.
  • Maintain and enhance the inputs used in Economic Capital (EC) model.
  • Define and specify key data requirements to support modelling approaches.
  • Document "technical manual", modelling choices made, and model methodology considerations.
  • Undertake various ad hoc modelling exercises to help Portfolio management team in conducting deep dive analysis of various segments of credit portfolio.
  • Conduct detailed analytical work with a high level of accuracy in response to requests from Senior management. Senior management, and contribute to the management and education of enhanced credit risk approaches.
  • Prepare and present high quality analytical papers for senior management and committees. Contribute to the management and education of enhanced credit risk approaches.

Work in conjunction with Global Portfolio Analytics desk and Global Stress test teams for the enhancement of firm wide global credit risk models.


Functional / Technical Competencies:

Essential :

* 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.

Preferred :

* 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

Work Experience:

* 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


  • Excellent communication skills
  • Results driven, with a strong sense of accountability
  • A proactive, motivated approach.
  • The ability to operate with urgency and prioritise work accordingly
  • Strong decision making skills, the ability to demonstrate sound judgement
  • A structured and logical approach to work
  • Strong problem solving skills
  • A creative and innovative approach to work
  • Excellent interpersonal skills
  • The ability to manage large workloads and tight deadlines
  • Excellent attention to detail and accuracy
  • A calm approach, with the ability to perform well in a pressurised environment
  • Strong numerical skills
  • Excellent Microsoft Office skills
  • SQL skills (preferred

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.

Alex Riedl's picture
Senior Consultant | Risk Management Recruitment
London + 44 20 7092 0103 |