Quantitative Model Development- Associate Director
London 33 Old Broad Street, United Kingdom
GBP 101K-125K Mid-level Full Time
Tasks
- Apply credit risk modelling and quantitative analytics
- Assess risk and establish pricing benchmarks with market and business specialists
- Collaborate with market and business specialists
- Contribute to credit risk transfer and securitisation transactions
- Develop quantitative models and tools for pricing loans bonds and CDOs
- Identify opportunities for portfolio optimisation and capital efficiency
- Research and implement improvements to modelling approaches and tooling
- Support distribution and hedging transactions
- Support mark to market MTM valuation methodologies
Perks/Benefits
- Annual performance bonus
- Discounted shopping
- Flexible working
- Hybrid working
- Job share
- Paid time off
- Parental leave
- Pension contribution
- Share scheme
- Wellbeing initiatives
Skills/Tech-stack
C# | CDO Pricing | Credit Hedging | Credit Risk | Credit Risk Modelling | Credit Risk Models | Excel | IFRS 9 | Linear Programming | Machine Learning | Mark to market | Model Validation | Model risk | Multi Factor Credit Risk Models | Multi-Factor | Python | Risk Modelling | Risk models | Structured finance
Education
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