Quantitative Model Development - Investment Bank

- Development of credit risk PD rating models at single obliger and transaction level.

- Annual review of rating models which involves performing core technical modeling and liaising with independent validation teams and across the risk and finance functions.

- Writing and maintaining detailed technical documentation and preparing presentations for senior management and bank supervisors.

- Assisting in the preparation of regulatory (e.g. Pillar III) disclosures. Other ad-hoc analysis.

- Strong technical skills with some knowledge of credit risk modeling, economic capital and Basel regulatory capital, and ideally significant relevant experience gained in a banking, consultancy or regulatory environment

- Master's degree in numerical discipline or an advanced degree from top tier university. Exceptional candidates from other streams with keen interest and relevant skills will also be considered. However knowledge and affinity towards basic statistical techniques and formal concepts is essential

- Strong interest in working with mathematical and statistical techniques and good background knowledge of quantitative finance

- Knowledge of statistical and mathematical software packages (e.g. R, Stata, Matlab, etc.) and programming languages (VBA, C++, SQL, etc.)

- Ability to communicate well both informally and formally, including writing extended documentation