IRB Modelling & Quantitative Risk

Barclay Simpson
26 Jul 2017
15 Aug 2017
Contract Type

Our Client specialises in Investment and Retail Banking with over 700 branches globally, where the UK is their fastest growing market. Our client has doubled in the last four years and continues to grow.

With a relatively small team and a flat structure, the successful candidate will have excellent exposure across the firm both in the UK and internationally.

The Role

Reporting directly to the regional Chief Risk Officer, the candidate will operate as a Quantitative Risk Analyst focusing on Credit Risk IRB models (LGD, EAD, PD) both on the Retail and Wholesale markets, with exposure to Economoic Capital models and stress testing. The organisation are currently utilising head office IRB models, however the UK office will be required to develop their own.

Candidate requirements

Candidates must first and foremost, have proven experience working with IRB Models (LGD, EAD, PD). Candidates are likely to have come from a modelling, model validation or consulting role.

Candidates must be experienced with SAS coding and analytics.

If you are interested in finding out more about the role or have any specific questions, please get in touch with Josh Lawson.