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Senior Quantitative Risk Analyst

2 months ago


London, Greater London, United Kingdom ETRA Talent Full time
About the Role

We are seeking a highly skilled Senior Quantitative Risk Analyst to join our team at ETRA Talent. As a key member of our risk management function, you will play a critical role in the development and implementation of cutting-edge credit risk models.

Key Responsibilities
  • Deliver components of quantitative credit risk model development, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models.
  • Conduct data quality assessments and perform data analytics to support model development.
  • Build and benchmark challenger models using advanced techniques, including machine learning.
  • Assess model performance, impact, and report findings to senior management.
  • Collaborate with risk transformation and data teams for model implementation.
Requirements
  • Significant experience in wholesale credit risk modeling, including PD, EAD, and LGD models.
  • Excellent understanding of AIRB and/or IFRS9 credit risk modeling frameworks.
  • Familiarity with UK (PRA) or EU (EBA/ECB) regulatory requirements.
  • Proficiency in manipulating large data sets, particularly using Python, and a strong grasp of credit risk-related data.
  • Experience with Python, SAS, and SQL.
  • Knowledge of model implementation within a banking environment, linked to policies and regulations.
  • Proficiency in English, both written and verbal.
About ETRA Talent

ETRA Talent is a leading provider of risk management solutions to the financial industry. We are committed to delivering high-quality services and products that meet the evolving needs of our clients.