Quantitative Risk Developer

Recruiter
Hays Financial Markets
Location
London (Greater)
Posted
15 Sep 2018
Closes
18 Sep 2018
Contract Type
Permanent
Hours
Full Time
Corporate & Investment Bank seeking a Quantitative Risk Developer for FTC, salary between £75,000 to £85.000.

Your new company
A leading Corporate & Investment Bank headquartered in the heart of London is seeking a Quantitative Risk Developer to join on an 18-month fixed-term contract.

Your new role
Working in the bank's quantitative methodology team, you will develop models to support the Market and Structural risk teams in traded market risk, IRRBB and pension risk. You will also model and price structured credit products such as ABS, CLOs, CRE, and CMBS in addition to cashflow modelling responsibilities. Furthermore, you will develop and implement appropriate credit risk models such PD, LGD and EAD alongside Monte Carlo simulation. Overall, you will conduct end-to-end model development including data gathering and coding, interacting with originators and model validation throughout the process.

What you'll need to succeed
You will have significant experience in credit/fixed income structuring, having extensively developed models for structured credit products such as ABS, CLOs, CRE, and CMBS. You will also have exceptional mathematical modelling and data analysis skills and strong quantitative abilities in probability, LGD methodology and stochastic calculus. Moreover, you will possess strong communication skills to articulate complex ideas concisely and excellent coding skills with knowledge of Python or a similar programming language.

What you'll get in return
You'll receive a salary of £75,000 to £85,000 depending on experience in addition to generous benefits and tailored training and development opportunities to aid you in achieving your full potential.

What you need to do now
If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now. If this job isn't quite right for you but you are looking for a new position, please contact us for a confidential discussion on your career.

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This job was originally posted as www.cityjobs.com/job/960717159

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