Top British Bank seeks Quantitative Analyst to join their Portfolio Management team.
The Portfolio Modelling function is responsible for building credit portfolio models and other quantitative tools to support the analytics capability of PM, as well as advising and directing on business analyses and methodologies.
The overall objective of the quantitative team is to support the bank's origination, management, and distribution capabilities.

Role:
-Design, build and manage a full range of credit portfolio models as required by PM.  Oversee the running of such models and complete the necessary version control, testing and documentation.
-Provide quantitative tools to support the analytics capability of PM, such as loan pricing origination and asset disposal  methodologies.
-Supervise the validation of all new models
-Ensure the development of robust and reliable infrastructure to support the suite of analytical and modelling tools.
-Provide advice and insight as required on matters relating to credit modelling
-Engage in research as required into new and improved techniques for building and testing credit models, with the aim of becoming a modelling “centre of excellence”.

The role & candidate:
-3 to 5 years of experience in credit portfolio management or quantitative credit research,
-Knowledge of:
-Loan pricing and risk adjusted performance measurement,
-Structured credit products (cash/synthetic CLOs, ABS) and credit market instruments (e.g. iTraxx, ABX, LevX),
-Credit portfolio modelling and/or economic capital allocation,
-Loan/credit portfolio strategies (e.g. tactical and macro-hedging, portfolio optimisation),
-VBA, C++, and/or MATLAB will be an advantage,
-Good presentation, communication and interpersonal skills,
-Ability to work productively and efficiently in a dynamic team environment.

Keywords: Credit Risk, Basel II, Scorecards, Analyst, Credit, Model, Modelling, London, VBA, C++, MATLAB, Finance, Financial Economics, Econometrics, Mathematical Finance