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Quantitative Mathematical Modellers (C++) for Credit Risk Modelling

Job Mode :Permanent Job
Published On :2009-08-06
Last Application Date :0 days remaining (2009-11-06)
Category :Banking (Credit/Risk Management)
Pay Rate :Appropriate to experience plus Car allowance, bonus and benefits
Location :Canary Wharf, Docklands, East London, London
City :London
Country :UK
Job Posted By:Parham Consulting
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Job Description


One of the biggest names in the world of professional services has launched a brand new 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 for the financial sector, truly a Greenfield situation! 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:


The following experience and attributes are essential for this role:
• First class degree in applied mathematics /engineering/physics or a related discipline (regrettably, accounting & finance or economics degrees are not suitable)
• Commercial experience in modelling Correlated Credit Risk, preferably 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.
• A minimum of 2 years commercial experience in C++ programming for numerical applications, including STL
• Thorough knowledge and experience of Monte Carlo techniques including accelerated methods.
• 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:

• Post-graduate qualifications such as MSc
• PhD
• Knowledge of KMV Portofolio Manager
• Thorough knowledge of Economic Capital, Value at Risk, Credit derivative pricing, stress testing, correlation modelling, portfolio optimisation, risk contributions and rating agency models
• Working knowledge of databases and SQL, Excel and VBA.
• Knowledge of Numerical Algorithms Group (NAG) libraries.

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.

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.

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