Development and enhancement of methodologies and models used for credit portfolio management, credit asset origination and credit economic and regulatory capital decisions

Developing and implementing reporting requirements for credit portfolio management, credit asset origination and credit economic capital and regulatory capital management

Analysing the outputs of credit risk models and interpretation thereof – e.g. back testing, stress / shock testing, etc.

Management and maintenance of data required for the production of credit risk reporting

Quantitative analysis of Credit Risk Reports and quality assurance thereof

A postgraduate degree in a numerate field, e.g. mathematics, mathematical statistics and mathematics of finance

Minimum three years related experience in Financial Institutions, preferably Investment Banking Credit or Market Risk

Knowledge of financial markets and financial asset classes, including the pricing of derivatives

Knowledge of Capital Management (economic and regulatory capital) – e.g. Solvency II / Basel II or III

Development, Implementation and Maintenance of risk methods and models and associated output analysis and calibrations

Knowledge of programming languages and modelling tools, such as Matlab, VB, CSharp, etc.

Quantitative Credit Risk Methodologies (essential)

Qualitative Credit Risk Management (advantageous)

Stochastic models

Mathematical Knowledge

Financial Markets knowledge

Capital and / or Regulatory knowledge, e.g. Solvency II/ Basel II/III Knowledge

Programming Languages – one or more of VB/C#/C++/Java/Matlab/SQL