Our client, a top-tier financial services company require a Quantitative Analyst at their Manager level for the Credit Portfolio Modelling team.
The team provides tailored solutions & advice across credit portfolio risk measurement, portfolio modelling and portfolio management and optimisation activities. They have a great deal of practical experience implementing frameworks and models in the areas of new deal assessment, risk aggregation and Economic Capital implementation, concentration measurement and mitigation, hedging, risk reduction, capital and pricing.
Responsibilities: Providing technical input to a number of credit portfolio projects, Portfolio analysis and recommendations. Working on new ideas and research.
The Individual: First class degree in Maths or Science and / or relevant professional qualification and relevant industry experience. Very strong quantitative background. Excellent presentation skills. Proven credit portfolio modelling experience or aptitude for modelling.

• Good practical knowledge of advanced modelling techniques such as saddle-point methods, ensemble theory, inverse-Fourier transforms, characteristic functions, asymptotic methods etc. (This must be real-world experience.)
• Thorough knowledge and experience of Monte Carlo techniques including accelerated methods.

Demonstrated independent research capability. While the role is not 'pure research', there will be a significant percentage of research and an opportunity to explore new ideas.
Excellent VBA. Ideal candidates are those from a Corporate Loan Portfolio Management background covering loss distribution (default) for credit risk assets within a portfolio. KMV, asset value and intensity approaches (aggregating portfolio losses). Doubly stochastic processes, numerical methods.