The team undertakes credit portfolio modelling, risk-return performance assessment, loan fair valuation and hedging analysis, building credit portfolio models.

Technical credit risk aspects of their work includes (e.g. loan fair valuation, RAIR, RAROC methodology, Hurdle Rates, etc). They design, build and manage a full range of credit portfolio models as required.

Your experience should cover version control, testing and documentation, loan pricing and Economic Profit Calculator, validation of all new models, risk reduction techniques, Portfolio Optimisation, portfolio credit risk measurement, and structured credit securities.

THE Candidate:

3 to 5 years of experience in credit portfolio management or quantitative credit research. one or more of the following areas is required:

• Loan pricing and risk adjusted performance measurement
• Structured credit products (cash / synthetic CLOs, ABS) and credit market instruments (e.g. iTraxx, ABX, LevX)
• Credit portfolio modelling and/or economic capital allocation
• Loan/credit portfolio strategies (e.g. tactical and macro-hedging, portfolio optimisation)

Programming skills in VBA, C++, and/or Matlab will be an advantage.