Credit Risk Modelling Analyst

Recruiter
HFG
Location
London
Salary
£40000 to £60000 per annum
Posted
14 Aug 2019
Closes
11 Sep 2019
Ref
AL001L
Contact
Abi Logeswaran
Contract Type
Permanent
Hours
Full Time
Credit Risk Modelling Analyst

A well established and widely known Insurance and financial services company is looking for a Credit Risk Modelling Analyst.

You will be providing support on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk.

Responsibilities:

- Assist in design and implementation of updates and replacements for credit models
- Provide solutions to remediate weaknesses and meet customer needs
- Code of model developments (e.g. in R, Access, Excel, VBA)
- Use analytical methods to support understanding of the drivers of credit risk, including the market spread risk on credit assets and calibration movements
- Assist in supporting stakeholders to aid investment decision making across the company, including appropriate capital model treatments for new asset classes and structures
- Drafting and maintenance of credit risk calibration documentation
- Ensure that all credit risk modelling activities are consistent with the fair treatment of the customers

 
Skills Required:

- Strong academic background in a quantitative subject
- Financial model development capability including proficiency in coding with R and VBA
- Ability to explain technical modelling concepts in simple terms
- Knowledge of statistics and risk modelling techniques

 
Desirable:

- Knowledge of insurance capital modelling including asset modelling
- Studying for FIA/CFA or other professional qualifications

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