Quantitative Analyst (Wholesale credit risk/Statistical modeler

  • GBP80000 - GBP130000 per annum
  • London, England, United Kingdom
  • Permanent, Full time
  • Taylor Root
  • 22 Feb 18 2018-02-22

My client, a reputable investment bank is looking for quantitative analyst/statistical modeller or Python quantitative developer to join their Financial Modelling Quant team.

My client, a reputable investment bank is looking for quantitative analyst/statistical modeller or Python quantitative developer to join their Financial Modelling Quant team.

Responsibilities:

  • Design, build and deliver robust and production quality statistical models and code within a unified library
  • Deliver high quality documentation and presentations to support and maintain model and library use.
  • Ensure delivery of robust python code to support model orchestration for CCAR and IFRS9.
  • Assist with the systematic review and on-going assessment of existing models for forecasting asset and liability behavioural balances.
  • Assist with development of statistical models for projection of the company's balance sheet under different macro-economic scenarios.
  • Support quantification of the bank's funding and capital plans, forward looking impairments and pricing of liquidity and funding risk associated with the bank's asset / liability profile.
  • Liaise with business stakeholders to ensure that model requirements are met and implemented successfully in a production environment.

Requirements:

  • Post graduate degree in a quantitative/numerical discipline with a statistics or computer science component.
  • Good wholesale credit risk modelling (PD, LGD, EAD) or statistical modelling experience
  • Strong industry experience in quantitative finance. This may be replaced by relevant academic or industrial experience in statistics or computer science.
  • Good understanding of statistical and econometric modelling techniques - e.g. time series analysis, regression models and various estimation techniques.
  • Able to deliver to tight deadlines on quantitative projects.
  • Proficient in Python (preferred) or R
  • Good understanding of library and code design.
  • Knowledge of CCAR and IFRS9 is a plus.

Please send your CV to phoebecheung@taylorroot.com

Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.