Credit Portfolio Analytics - AVP - VP

Recruiter
ITS-City Ltd
Location
London
Salary
Competitive
Posted
12 Aug 2017
Expires
15 Aug 2017
Contract Type
Permanent

Market Leading Financial Institution urgently requires a Quantitative Analyst to join their Portfolio Management Unit. The Quantitative Development team is looking for a Quantitative Analyst with a solid academic background (Msc / Phd) and 3+ years+ experience in quantitative methods and development. You will be responsible for building Tools,to enable the disposal of assets and the execution of synthetic securitisations. Practical experience in one of the following areas would be beneficial: • Credit portfolio model development and implementation (e.g. MKMV Risk Frontier, Risk Metrics Credit Manager, etc): Economic capital allocation, complex product type such as forward start loans, CDS, CDO tranches, bonds, derivative exposures, etc. • Development and implementation of loan pricing and risk adjusted performance measurement models: RAROC, economic (intrinsic) value, OAS, etc • Credit treasury and fund transfer pricing. Loan contingent liquidity transfer pricing assessment and measurement of prepayment impact on funding cost. • Large scale credit portfolio optimisation: CVaR and standard deviation optimisation. You possess key Correlation experience, you will create distribution models,developing methodologies, code in C#, C++ and work on highly sophisticated Quantitative Analytics, creating Models for Transactions, Profit & Loss Models working to tight dead lines, liasing with Traders, Distribution Team, Capital Markets, Syndicate Desk , Treasury and Investors. To Apply for this Challenging and highly rewarding opportunity, reply back with your most upto date CV. Email Tel