Snr Credit Quant Analyst (Loan Portfolios) (VP), London Snr Credit Quant Analyst (Loan Portfolios) (VP),  …

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 18 Jun 21
Total to £200k
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 18 Jun 21
Total to £200k
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
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

RESPONSIBILITIES:

  • 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.

ESSENTIAL SKILLS:

  • 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
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