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Credit Risk Quant

  • Location: London
  • Sector: Quantitative
  • Salary: £65000 - £85000 per annum
  • Job type: Permanent
  • Date posted: 13/12/2018
  • Job reference: SN30295
This vacancy has now expired.

I'm currently working closely with a global financial services firm, who have a number of exciting opportunities available for Quantitative Risk Modellers in their growing team. The team works to develop PD and LGD models for credit risk purposes, working the investment bank portfolios.

The successful candidate will have the opportunity to develop PD and LGD statistical and stress testing models, working on corporate wholesale and counterparty credit portfolios for the firm.

As part of the statistical modelling, SAS/R will be required as well IFRS9 and CCAR experience which will be beneficial.

They are looking for someone who has experience in modelling credit risk for these types of portfolios and will offer a competitive salary between £65k and £85k.

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