Quantitative Credit Risk Analyst

Introduction


The Quantitative Analytics and Liquidity Risk Management team is a dynamic group of professionals within the Balance Sheet Management Function dedicated to mastering risk management and precisely quantifying risk. We offer quantitative support for Credit Risk, Market Risk, and Liquidity Risk, and we also serve as the primary risk owners for Liquidity Risk.





Role Purpose


To develop and implement quantitative models used to measure, monitor and manage financial risk exposure in credit risk by using databases, Murex, Credit Edge and Moody's Portfolio Studio outputs.





Requirements



Quantitative Degree, Honours or Master degree with the following majors: Financial Engineering/ Mathematics/ Actuarial Science/ Computer Science
At least 5 years experience of building, implementing and using quantitative finance models
Understanding and knowledge of financial instruments valuation and risk measurement.
Experience in programming and development of financial models in Python and SQL
Large data mining and manipulation in SQL
Database design, development and management skills, SQL
Strong Microsoft office suite skills, Word, Excel and PowerPoint
Report writing and presentation skills





Duties & Responsibilities



Continuous Improvement of the financial risk measurement process.
Develop and implement quantitative tools to measure and stress credit risks using computational programming tools.
Improve reporting tools to extract data from database to develop insight into risk exposure changes over time.
Automate internal risk measurement, monitoring and reporting process used in the Quantitative Risk management function.
Use Moody's Credit Edge and Portfolio Studio to calculate the Group's credit economic capital.
Perform measurement and attribution modelling on the credit portfolio.
Perform regulatory and internal stress calculations on the Group's credit risk portfolios.
Maintain and improve code modules used using your proficiency in Python and SQL.





Competencies




Business Acumen
Collaboration with stakeholders
Being a self-starter
Ability to influence outcomes
Results Driven
Self-Awareness and Insight
Innovative thinking
Share knowledge
Diversity and Inclusiveness




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