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Quant Analyst - Wholesale Credit Risk - Basel III

London, United Kingdom, £ £ 700.00-800.00 Daily Daily, Contract


My client, a Top Tier Banking group is looking for a Wholesale Credit Risk Quant Analyst to work within Wholesale Credit Risk on the delivery of Basel III Capital model changes to PD, LGD and EAD models.

It will be the responsibility of the successful candidate to ensure models are developed in line with regulatory requirements and internal standards and submissions to the lead regulator are of high quality by both supporting and leading modelling initiatives.

The business have stated it is imperative that candidates must have solid Wholesale or Retail Credit Risk experience and ideally worked on a large regulatory delivery such as IRB, IFRS9 or Basel III.

Role requirements:

  • Experienced Quant Analyst
  • Stong understanding of Wholesale Credit Risk specifically PD, LGD and EAD models.
  • An understanding of the RWA reporting, Credit and Finance processes.
  • Knowledge of Basel III and upcoming reforms impacting calculation and reporting of LGD and EAD
  • Extensive model build experience (AIRB ideally)
  • Modelling experience in either SAS or Python

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Job Details

Not Specified
London, United Kingdom
£ £ 700.00-800.00 Daily Daily