Credit Model Quantitative Analyst

Overview:

• Risk Analytics Group (RAG) is a specialised area within the Risk Department, responsible for Market Risk Models, Portfolio Credit Risk Models, Counterparty Exposure.
• This role is part of the Portfolio Credit Analytics team.
• The team is responsible for the development and maintenance of stress testing models (structured products such as equity margin loans and NAV financing, ECL stress testing, concentration risk, climate stress testing, economic capital, portfolio credit risk, borrower rating, operational risk, early warning systems).
• The team works closely with Risk teams in Europe and the US.
• The team members have strong quantitative skills and the team head reports to the local and international Chief Risk Officer.

Purpose:

• This role is part of the Portfolio Credit Analytics sub-team of RAG. The team is responsible for the development and maintenance of economic capital models, portfolio credit risk models, scenario-based stress testing models, product specific stress testing models, and rating models.
• The EMEA entities have a dependency on Borrower Rating models that have been developed in the US.
• These Borrower Rating models include models for Corporates, Banks, Fund Finance, Project Finance, Aircraft rating, Life Insurance companies,
• The purpose of the role is to ensure that these models are fit for purpose for EMEA and MBE (via representativeness tests for example) and document it.

You will:

• Understand the original Borrower Rating models, and assess their usage for MBE and EMEA (typically by performing specific representativeness analysis)
• Document the BR models, the representativeness tests, to EMEA and MBE specific audience.
• Where applicable develop representativity and performance monitoring frameworks
• Ensuring the model documents are in line with UK and ECB regulatory expectations

Your background:

• Previous experience with statistical models in finance
• Previous experience in Borrower Rating models
• Previous experience in rating models
• 2 to 5 years’ experience in a Financial Services firm
• Strong knowledge in statistics
• Knowledge of basic theory of default modelling
• Knowledge of advanced programming languages (Python)
• Highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above

Your personality:

• Excellent communication skills with the ability to adjust to different audiences
• Highly motivated and innovative, able to work on own initiative
• Excellent accuracy and attention to detail with an analytical mind-set
• Good team player with professional attitude
• Good time management and ability to prioritise
• Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer-term projects
• Strong decision-making skills, the ability to demonstrate sound judgement
• Strong problem-solving skills
• Strong numerical skills

Our Commitment

Built on excellence, collaboration and innovation, Quanteam partners with clients to strengthen resilience, accelerate transformation and build future-ready capabilities.

We are committed to a diverse and inclusive workplace where all individuals are respected and valued. We welcome applicants from every background and uphold equality across all characteristics. Diversity drives innovation and strengthens our ability to deliver exceptional results. Our aim is an environment where everyone can thrive and contribute to collective success.