Quantitative Analyst – Basel II / Economic Capital
Location:
UK-London
Remuneration:
Attractive
Position Type:
Employee
Employment type:
Full time
Work permit req:
UK
Updated:
13 Nov 2008
eFC Ref no:
367733
Large Bank is looking for an experience Quant to work within the Corporate & Investment Banking division.
Tasks include but are not limited to:
Lead development of model(s) for default risk, the recovery rate assumptions and exposure at default estimation and their ongoing validations and refinements.
Focusing on credit portfolio model(s) to determine and refine economic capital for the Group
Stress testing and pricing tools.
Assist in implementation of these models.
Management of credit and loss related data
Detailed analytic development, validation and calibration of the default (or expected loss) models
Analysis and testing of the recovery rate model
The ideal candidate will possess a strong quantitative-based Msc with a PhD as an advantage. Ideal experience would be within a large bank within a quantitative based team.
