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Senior Quantitative Modeler - Credit Risk

  • Location: London
  • Salary: £75,000 - 100,000 Base + package
  • Job type:
  • Job reference: 167599
  • Sector: Banking, Credit Risk
Job Description

You will join the team responsible for building corporate and commercial models used for portfolio monitoring and stress testing.  Gaining exposure to a wide range of models and modelling approaches and providing senior steer as a key member of the function.

 Responsibilities:   

• Design, build and implement models for different asset classes and provide quantitative analytical support.

• Own the pricing tools, existing models, and portfolio management reporting from the angle of model performance.

• Liaise with Internal Validation and Audit functions supplying required analysis and input into the Validation and Audit processes.

• Provide senior input into model development projects, ability to take ownership and management of tasks to completion.

Skillset:

• Previous experience building credit risk models, including knowledge of regulation, estimation and validation techniques relevant IRB modelling.

• Strong SAS. 

• Proven ability in model development and detailed knowledge of  strategies and products in corporate and commercial markets would be advantageous.

Hit "apply" to find out more.

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