Quant Analyst - ABS - IFRS9 - Investment Banking - London
Our client, a leading Investment Bank, requires an experienced Quant Analyst to join an IFRS9 ABS expected loss project.
The role will involve playing a key part in formulating and implementing a calculation and reporting process for ABS Collateral including mortgage (loan default), commercial and residential property prices. This will include the collection and analysis of historical data relating to the internal ABS model and modelling and calculating the loss/default.
Candidates must have:
- Strong and demonstrable track record working as a Quant Analyst within either the ABS, Credit Derivatives, Bonds, Loans or Mortgages space
- Strong understanding of default and loss modelling techniques
- Understanding of mortgages and statistical modelling
- Strong C++ coding skills required (to deliver tools via C++ library)
- Strong numerical academic background with Masters or PhD in Maths, Statistics or Physics