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Credit Risk Modelling Senior Manager

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Salary £100k
Type Permanent
Location London
Sector Credit & Risk Management
Job Reference T55/TXH/29506
Contact Tim Holbrough
Date posted 06-08-2018

Multinational Financial Services Organisation seeking a Credit Risk Modelling Senior Manager to join their London office.
Key responsibilities
• Lead on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk to support the Group businesses.
• Develop strategy for design and implementation of updates and replacements to the firm’s credit models including specification of methodology.
• Provide pragmatic solutions to remediate weaknesses and meet customer needs. Hands on coding of model developments (e.g. in R, Access, Excel, VBA).
• Provide deep analytical capability within the credit risk modelling team to support understanding of the drivers of credit risk, including the market spread risk on credit assets.
• Work closely with stakeholders to develop and implement credit risk modelling strategy to support practical, economically beneficial investment decision making across Group.
• Diagnosis and explanation of calibration movements.

Skills/ Experience required
• Quantitative first degree. FIA/CFA or other professional qualification (preferred but not required).
• Knowledge of market best practice statistical and risk modelling techniques
• Knowledge of portfolio credit modelling and single name credit models including structural models
• Outstanding mathematical and quant modelling skills
• Hands-on model development capability, including coding in statistical packages and managing financial modelling projects to delivery through all stages of validation and governance
• Good written and verbal communications, in particular clear and concise drafting of technical documentation, and ability to explain modelling concepts to non-experts
For applications or enquiries, email Tim.Holbrough@BRUINFinancial.com

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AVP, Consultant