LMA is working with a leading Financial Services business in London to recruit a Quant Analyst.
The Quant Analyst will come in to develop models for IRS9, making sure the firm is compliant with regulations.
The role is a senor individual contributor and will work alongside colleagues in Risk , quantifying the risks of all areas of Risk and developing the Model Risk Management framework.
* Play a key role in the IFRS 9 impairment model design, development and validation
* Produce functional specs for developers to implement the model
* Work in conjunction with other teams such as Finance and Credit Department.
* Produce and maintain methodology documents for IFRS 9 impairment models.
* Provides ICAAP services and technical support to all EMEA entities
* Understanding Basel III and regulatory capital requirements for banking industry
* Good knowledge on IFRS 9 and stress testing.
* Good knowledge of credit risk metrics e.g. PD, LGD and EAD models
* Proven problem-solving skills using logical reasoning and analytical methods
* Advanced knowledge of Excel, VBA, SQL and working knowledge of C++, C# or R.
* Experience in credit risk modelling within financial services.
* Bachelor or Master’s degree in a quantitative field (Finance, Mathematics, Economics, Engineering etc.)