IRB Senior Quantitative Analyst

Location London
Discipline: Software Engineering
Job type: Permanent
Salary: Up to £70,000 + 5% bonus
Contact email: mohammed@exalto-consulting.com
Job ref: 657347
Published: 2 months ago
Startdate: ASAP
My banking client are looking for an IRB Senior Quantitative Analyst.

This role is in the IRB (Internal Rating Based Approach) Model Development Team in Risk Analytics. They are responsible for the design and delivery of predictive credit risk measurement models relating to the Bank’s Pillar 1 capital PD, LGD and EAD models. These models are used to determine the level of risk associated with individual borrowers and drive the determination of the Bank’s regulatory capital requirements. The team is currently undertaking a multi-year redevelopment of all IRB models followed by the rollout of new IRB models, which represents a key strategic objective for the bank. The role involves working closely with their colleagues across the Business, Credit Risk and the Chief Data Office.

The role is hybrid working and would require you to be in the London office 2-3 days a week.

You must have;
3 years’ experience in a model monitoring, model development or model validation role. Examples include: ideally IRB; IFRS 9; loss forecasting; stress testing or economic capital modelling; propensity modelling; or a combination thereof.
A bachelor’s degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics. 
Ideally have advanced level of SAS or SQL programming – an equivalent level in an alternate programming language would be consider (e.g. R, Python, Matlab).
Advanced experience in extracting, transforming, and cleaning data for modelling purposes.
Strong ability to build relationships and communicate with key stakeholders.
Good problem solving skills with capability to defend their decisions from challenge both on a technical and business front.

This is an urgent requirement so please apply immediately to be considered!