Quantitative Analyst – Basel II / Economic Capital

  • Location

    UK-London

  • Compensation

    Attractive

  • Position Type

    Employee

  • Employment type

    Full time

  • Updated

    30 Aug 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.

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