Wholesale Credit Risk Modeller (AVP)

  • GBP50000 - GBP85000 per annum
  • London, England, United Kingdom
  • Permanent, Full time
  • Charles Levick
  • 14 Sep 17

My client a leading Tier 1 Investment Bank is looking to recruit a Wholesale Credit Risk Modeller with model documentation experience to join the Wholesale Credit Risk Modelling Quant Team.

My client a leading Tier 1 Investment Bank is looking to recruit a Wholesale Credit Risk Model Documentation Writer eventually moving into a Statistical Modeller position, who will initially be responsible for the documentation of credit risk models currently under development. You will work in close collaboration with the model development teams and the overall project lead to ensure the new model builds are accurately documented and relevant standards are adhered to. Enhance model management through improved model documentation standards.

About QA

The Quantitative Analytics group is responsible for the research, development and implementation of cutting-edge, market leading quantitative models across all asset classes (Interest Rates, Credit, Equity, Foreign Exchange, Commodities, Emerging Markets and Counterparty Risk) and risk types (market, credit, counterparty).

QA Wholesale Credit Risk (WCR) develop models for capital (Basel), impairment (IAS39/37, IFRS9), and stress testing (CCAR, PRA, EBA). Model outputs are utilised across a range of risk metrics, including RWA, pricing, Economic Capital, and for credit sanctioning. The model scope covers the Corporate and Investment Bank (CIB) within the International sector.

Key Accountabilities:

* Support the development of new credit risk models, leading and supporting the documentation work stream.
* Maintain open dialogue with modellers and validation teams.
* Ensure standards are met.

Candidate Profile:

* Post graduate degree in a quantitative discipline, Mathematics, Statistics, Physics, Engineering, Econometrics.
* Understanding of the quantitative techniques used in developing and validating PD, LGD, and/or EAD models.
* Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences.
* Good stakeholder management skills, with experience from complex projects.
* Ability to deliver within tight deadlines.
* Ability to quickly adapt to new environments & systems.
* A keen eye for detail.
* Self-starter: motivated and disciplined.
* Able to work in isolation and within a team environment, as required.