Our client, a very strong Global Investment Bank, operating across the world’s most dynamic markets and a great reputation for state of the art technology, is now looking to hire an experienced Credit Quant for their multi-billion Loans Portfolio (AA thru diistressed) to develop models for the pricing and risk management of loans and credit derivative products.
Their Front Office Quant team offers a full suite of fixed income, currencies, commodities, equities solutions. Based in the vibrant City of London, you’ll work with highly talented Quants & Structurers and gain deep exposure to the asset class.
Loan Modelling, Fair Value, Bonds, Credit Risk, Front Office Pricing
- Develop and maintain models for the pricing & risk management of loans and credit derivative products.
- Delivery of model documentation and testing material.
- Improving and maintaining existing analytics.
- Research into alternative models and numerical techniques as well as ongoing assessment of models published in industry or academic literature.
- Support stakeholders including Trading, Sales, Structuring, Risk, Model Val, etc.
- 3-8 years’ experience developing or validating markets credit derivative or Loan pricing/risk models (all kinds) in an international bank
- PhD or Masters educated in a quantitative field (Physics, Maths, Financial Engineering)
- Knowledge of Credit Derivatives & large Loan Portfolios
- Knowledge of portfolio level analytics, reporting, capital computation, RWA
- Good knowledge of numerical methods, stochastic calculus, & probability theory
- Good programming in both C++ and Python
- Able to explain complex ideas in a clear manner