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| Job Mode : | Permanent Job |
| Published On : | 2010-07-26 |
| Last Application Date : | 0 days remaining (2010-10-29) |
| Category : | Banking (Credit/Risk Management) |
| Pay Rate : | Maximum £110,000 plus Car allowance, bonus and benefits |
| Location : | Canary Wharf, Docklands, East London, London |
| City : | London |
| Country : | UK |
| Job Posted By: | Parham Consulting |
| Jobs Publisher's Website: |
www.parhamconsulting.com |
Job Description
Quantitative Modellers for Credit Portfolio Modelling Consultancy - London
THE COMPANY AND SITUATION OVERVIEW:
One of the biggest names in the world of professional services has launched a modelling team producing a unique service offering for which there is currently no equivalent in existence. This consists of advisory services relating to Credit Portfolio Modelling and Credit Portfolio Management for the financial sector. For this role they require what they deem a “pure Quant” – a very technically-minded person with strong experience in mathematical modelling of the type described below:
EXPERIENCE REQUIRED:
The following experience and attributes are essential for this role:
• First class degree in applied mathematics /engineering/physics or a related discipline
• Post-graduate qualifications such as MSc or PhD:
• Commercial experience in Credit Portfolio Modelling, or of modelling Correlated Credit Risk, specifically of loans and credit within a financial institution
• Knowledge of advanced modelling techniques such as saddle-point methods, ensemble theory, inverse-Fourier transforms, characteristic functions, asymptotic methods etc.
• Thorough knowledge and experience of Monte Carlo techniques including accelerated methods
• Excellent experience in C++ programming for numerical applications, including STL
• Demonstrable evidence of 'new thinking' in modelling techniques
• Evidence of published articles and thought leadership
Please note the above experience is essential: You require all of the above to be eligible for this role.
Desirable, but not essential, are any of the following:
• Knowledge of KMV Portfolio Manager
• Thorough knowledge of rating agency models, Economic Capital, Value at Risk, Credit derivative pricing, stress testing, correlation modelling, portfolio optimisation and risk contributions.
• Working knowledge of databases and SQL, Excel and VBA
• Knowledge of Numerical Algorithms Group (NAG) libraries
THE ROLE:
This team focuses on two main areas: Credit Portfolio Management and Credit Portfolio Modelling. In this role, you would be carrying out fundamental research and building cutting-edge models in order to provide bespoke advice on credit portfolio risk assessment, credit portfolio management and improved credit portfolio modelling to a range of financial institutions globally. This is a unique product and service offering.
THE OPPORTUNITY:
Partner! No, seriously! This is a unique offering in cutting-edge technologies for which there is no equivalent or competition elsewhere. Consequently, the team have been hugely successful so far, are already far ahead of target even in these early stages and are experiencing a huge demand for their services, hence their need for more staff. If you contribute to their success, the team will need to continue to grow quickly and expand globally. Consequently, the prospects are to step up to Director and then Partner in relatively quick succession. There is no “glass ceiling” here and nothing preventing there being multiple partners in the one team.
Location: Canary Wharf, Docklands, East London, London
