Credit Risk Modelling Senior Manager

Recruiter
Orange Malone
Location
London/flexible
Salary
£80-110k + bonus
Posted
26 Nov 2018
Closes
26 Dec 2018
Ref
200514
Contract Type
Permanent
Hours
Full Time

A large life company is looking for an experienced credit risk specialist to lead on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk.  This will include both the credit asset exposure and liability side exposure via Matching Adjustment.

You will also be asked to manage the regular production of credit calibrations for use in reporting processes making certain appropriate controls are in place to ensure sound capital management. Other tasks include: diagnosis and explanation of calibration movements and drafting and maintenance of credit risk calibration documentation.

Ideally you'll have knowledge of market best practice statistical and risk modelling techniques and knowledge of portfolio credit modelling and single name credit models including structural models.

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