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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 enhance their Model Development team in the capacity of Senior Quantitative Analyst, Credit Risk. This role presents a remarkable opportunity to engage in the formulation and upkeep of statistical credit risk models that are essential to the organization’s global initiatives.

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 developing models in accordance with the Advanced Internal Ratings Based (AIRB) methodology and IFRS9 provisioning standards.
  • Performing data quality evaluations and executing data analytics to facilitate model development.
  • Creating and benchmarking alternative models utilizing advanced methodologies, including machine learning techniques.
  • Evaluating model performance and impact, and communicating findings to senior management.
  • Collaborating with risk transformation and data teams to ensure effective model implementation.
  • Engaging with stakeholders across various global regions and disciplines to establish superior modelling practices.

Required Qualifications:

  • Extensive experience in wholesale credit risk modelling, particularly with PD, EAD, and LGD models.
  • In-depth knowledge of AIRB and/or IFRS9 credit risk modelling frameworks.
  • Understanding of UK (PRA) or EU (EBA/ECB) regulatory standards.
  • Expertise in handling large datasets, especially using Python, along 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.
  • Familiarity with model implementation in a banking context, aligned with relevant policies and regulations.
  • Proficiency in English, both written and spoken.

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