Credit Risk Modeller – Counterparty Risk
4 days ago
Credit Risk Modeller – Counterparty Risk / Derivatives (Python)
A major investment bank is undertaking a large risk programme regarding how they source data for credit risk modelling across the trade lifecycle and supporting functions, as well as how they ultimately model counterparty credit risks.
You will be responsible for developing credit risk models across major risk measures including LGD, PD, and CCF, incorporating relevant regulations and requirements, with significant risk modelling experience in Python.
- 5+ years credit risk and counterparty credit risk experience within investment banking
- Knowledge and model development experience in credit risk models (LGD, PD and CCF)
- Solid understanding of the trade lifecycle and reference data types
- Knowledge of relevant IRB regulations and requirements
- Strong programming skills (Python) and ideally SQL and SAS
- Degree educated or higher from a leading academic institution
This is a £600-650/day PAYE role, based London, initially for six months.
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