Main responsibilities will include:

• Perform the role of a specialist credit quant for the Portfolio Management team.
• The role involves working with credit risk models at both the transaction/facility and portfolio level for all credit exposures/products.
• The role will involve drawing on other quantitative resources internally within Risk and Global Markets as well as externally (specifically at Moody's KMV).
• It also involves working with IT to implement models within the bank's systems.
• Working on exposure quantification for portfolio/economic capital modelling for the bank's more complex transactions/structures, often in conjunction with the Risk Department.
• Researching market-derived parameters (e.g. PD and LGD) and incorporating them into the portfolio credit risk model.
• Amending/customising the Moody's KMV portfolio credit risk and economic capital model as required.
• Assisting in the development of facility-level pricing models for use in transaction assessment, risk-adjusted performance measurement and transfer pricing.
• Assisting in the development of portfolio optimisation tools.
• Providing general quantitative resources to the CPM group as required.

Skills/experience will include:

• The ideal candidate will have directly relevant experience in a similar role within a bank or fund manager, or possibly within a rating agency or software house.
• Experience using a credit portfolio model, and in particular Moody's KMV Portfolio Manager or Risk Frontier, would be a distinct advantage.
• Excellent academic qualifications in a relevant quantitative subject to MSc level.
• Programming skills in VBA and SQL an advantage.
• Good general understanding of products used in the bank, including loans & derivatives.
• Knowledge of traded credit products, particularly CDS, CDS options and the traded tranche market.
• Detailed knowledge of all aspects of credit risk modelling including modelling PD term structures, modelling EAD for derivatives, credit spread optionality, portfolio credit risk, risk/capital attribution and portfolio optimisation.
• Must be analytical and solutions seeking.
• Needs to be proactive and consultative in approach.
• Clear thought processes and excellent written and verbal communication skills.
• Pragmatic delivery focused team player in high pressure environment.