Credit Risk Modelling Analyst

£40000 - £60000 per annum
14 Aug 2019
13 Sep 2019
Abi Logeswaran
Contract Type
Credit Risk Modelling Analyst

A well established and widely known Insurance and financial services company is looking for a Credit Risk Modelling Analyst.

You will be providing support on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk.

  • Assist in design and implementation of updates and replacements for credit models
  • Provide solutions to remediate weaknesses and meet customer needs
  • Code of model developments (e.g. in R, Access, Excel, VBA)
  • Use analytical methods to support understanding of the drivers of credit risk, including the market spread risk on credit assets and calibration movements
  • Assist in supporting stakeholders to aid investment decision making across the company, including appropriate capital model treatments for new asset classes and structures
  • Drafting and maintenance of credit risk calibration documentation
  • Ensure that all credit risk modelling activities are consistent with the fair treatment of the customers
Skills Required:
  • Strong academic background in a quantitative subject
  • Financial model development capability including proficiency in coding with R and VBA
  • Ability to explain technical modelling concepts in simple terms
  • Knowledge of statistics and risk modelling techniques
  • Knowledge of insurance capital modelling including asset modelling
  • Studying for FIA/CFA or other professional qualifications

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