Senior Credit Risk Manager

Quantitative Solutions Manager - Credit Risk

3 x week in London

As a Manager you will be responsible for managing a portfolio of projects and for the timely delivery of services. You will work closely and support Directors and Partners with engagements. You will be expected to contribute toward marketing and business development initiatives.

You will be involved in a range of valuation and advisory engagements relating to financial products (derivatives and cash based) across all asset classes that will include both contentious and non-contentious matters. Such engagements will also include risk related matters such as the modelling of default risk.

You will also assist with the development of valuation models and modelling techniques for financial assets ranging from complex derivatives and structured products to other hard to value instruments that are complex due to illiquidity or a lack of observable market data inputs.

Responsibilities

• Provide effective project management of valuation engagements from inception to completion.
• Deliver clear, succinct, and robust valuation reports that are fit for purpose and accessible to non-technical readers.
• Model validation within IFRS9 and IRB.
• Manage junior team members on engagements ensuring they are appropriately briefed and coached.
• Provide effective intellectual input and challenge to senior members of staff in the completion of projects with conceptual complications.
• Carry out relevant technical research relevant to a specific area of valuations – disseminate key findings to the Quantitative Solutions team.
• Be responsible for and ensure excellent service and delivery on assignments and at stream level.
• Identify and recognise business and sales opportunities and inform the partner and client as appropriate.
• Ensure that the firms risk management and client take-on procedures have appropriately been complied with.

Requirements

• Master’s degree in Finance, Economics, Mathematics, Statistics, Engineering or Computer Science from a reputable university.
• Significant valuation or credit risk experience gained ideally from a major financial institution or another professional services firm.
• Knowledge of IFRS9 and IRB regulation.
• An interest in applying tools from finance, mathematics, and data science to provide pragmatic and robust solutions to real-world problems.
• Strong knowledge of mathematics as applied to finance and hands on experience of the valuation of financial products or credit risk modelling.
• Desirable previous valuation or credit risk modelling experience or the building and / or validating model libraries obtained from within a leading investment house or buy-side firm.
• Strong attention to detail and able to maintain high levels of accuracy whilst working to tight deadlines.
• Ability to put together clear and concise papers setting out modelling approaches and valuation techniques applied.
• Proficiency in a number of valuation techniques and modelling of interest, credit and equity risks
• Some programming skills in a high-level language (e.g., Python, R, MATLAB, Excel VBA) and/or experience with econometric software packages (e.g., STATA, SAS).
• Effective written and verbal communication skills.
• Excellent academic background with potentially a professional qualification in quantitative finance or other related financial discipline (e.g., CFA, FRM, PRM, CAIA, CQF)