Portfolio Credit Risk Modelling Quant - AVP

This role is part of the Portfolio Credit Analytics sub-team of Risk Analytics. The team is responsible for the development and maintenance of economic capital models, portfolio credit risk models, scenario based stress testing models, product specific stress testing models, and rating models.

The candidate will participate in the development and maintenance of economic capital models, stress expected loss models, and other stress testing models, working with colleagues in the team, the wider Risk Analytics Group, and the Risk area, including credit risk managers and model validation.

• Develop and maintain economic capital models and other models, such as ECL stress testing.
• Design and run model validation tests for both model assumptions and implementation.
• Investigate issues and propose changes where there are model weaknesses.
• Specify and test system changes to implement improvements.
• Execute ad‑hoc projects as required, including collaboration with business, Credit Risk Management and Model Validation.
• Investigate issues relating to the Credit Risk Models.
• Proactively contribute to wider Risk function initiatives and projects.

• Previous experience with statistical models in finance (Desirable).
• Previous experience in Economic Capital models, including PD, LGD and EAD modelling.
• Previous experience in Portfolio Credit Risk modelling.
• 2 to 5 years experience in a Financial Services firm.
• Strong knowledge in statistics.
• Knowledge of advanced programming languages (Python).
• Knowledge of basic theory of default modelling.

• Highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or above.

• Excellent communication skills with the ability to adjust to different audiences.
• Highly motivated and innovative, able to work on own initiative.
• Excellent accuracy and attention to detail with an analytical mind‑set.
• Good team player with professional attitude.
• Good time management and ability to prioritise.
• Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects.
• Strong decision making skills, the ability to demonstrate sound judgement.