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Lead Quantitative Risk Analyst

2 months ago

London, Greater London, United Kingdom ETRA Talent Full time

Senior Quantitative Analyst, Credit Risk – Credit Risk Analytics

Position Overview:

Location: London (Hybrid Working)

ETRA Talent is seeking a highly skilled professional to become a part of our esteemed Model Development team as a Senior Quantitative Analyst, specializing in Credit Risk. This role presents a significant opportunity to engage in the creation and upkeep of statistical credit risk models that are vital to our global operations.

Key Responsibilities:

  • Contributing to the development of quantitative credit risk models, focusing on Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
  • Maintaining and enhancing models in accordance with the Advanced Internal Ratings Based (AIRB) framework and IFRS9 provisioning standards.
  • Performing data quality evaluations and conducting analytics to support model development initiatives.
  • Creating and benchmarking alternative models utilizing advanced methodologies, including machine learning techniques.
  • Evaluating model performance and impact, while reporting findings to senior leadership.
  • Collaborating with risk transformation and data teams to facilitate model implementation.
  • Engaging with stakeholders across various global regions and disciplines to devise top-tier modelling strategies.

Required Qualifications:

  • Extensive experience in wholesale credit risk modelling, specifically in PD, EAD, and LGD.
  • Deep understanding of AIRB and/or IFRS9 credit risk modelling frameworks.
  • Familiarity with regulatory requirements from UK (PRA) or EU (EBA/ECB).
  • Proficient in handling large datasets, particularly using Python, with a solid understanding of credit risk-related data.
  • Ability to articulate complex technical concepts to non-technical audiences.
  • Demonstrated success in cross-functional collaboration within a global context.

Desirable Skills:

  • Experience with Python, SAS, and SQL.
  • Knowledge of model implementation processes within a banking context, aligned with policies and regulations.
  • Strong proficiency in English, both written and verbal.

This position offers an exceptional opportunity to be part of a dynamic and expert risk management function within a prestigious global investment bank, where you can significantly contribute to innovative credit risk models and play a crucial role in their development and execution.