Credit Risk Modelling - PD/LGD/EAD

Employer
Goodman Masson
Location
London, United Kingdom
Salary
GBP400 - GBP450 per day
Posted
Sep 18, 2017
Closes
Oct 22, 2017
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors

Responsibilities:

  • Lead small project teams to design and deliver customised solutions to senior executives at client organisations, assume ownership of small projects, and arrange post-project support.
  • Conduct technical design and knowledge transfer workshops on quantitative and qualitative methodologies so that clients can utilise the full potential of our solution. You are expected to train both quantitative analysts and non quantitative credit analysts and executives.
  • Build custom single obligor risk assessment models (such as PD/LGD/EAD/Stress Testing/IFRS9)
  • Contribute to the improvement and promotion of the Single Obligor models included in the RiskCalc universe covering SME, Middle Market, Large Corporate, Banks and Project Finance. More specifically, involvement during the development phase, the sales process and in the participation in conferences sharing subject matter expertise with clients to improve the use of the models.


Qualifications:

  • Minimum BA with an emphasis in Finance, Economics, Accounting, Mathematics, or related quantitative field. MA or MSc degree a plus. FRM or PRM or CFA designation a plus.
  • Strong working knowledge of R, SAS, Matlab, and Excel.
  • Relevant experience in financial markets, gained at either a top-tier consulting firm or within a commercial banking or capital markets environment.
  • Experience in building single obligor risk assessment models (such as PD, LGD, EAD, Stress testing and Provision Models).
  • Familiarity with modern credit risk management and the requirements of Basel II / III and European Regulation.
  • Track record of successful project management, preferably within a commercial banking or consultancy environment.
  • Excellent analytical skills and persistence in analytical and problem solving, quantitative approach to understanding problems in finance
  • Must be flexible with international travel