The Distribution Team is seeking an exceptional professional to take quantitative modelling forward. The team is responsible for building mathematical methods and tools to support the execution of Collateral Debt Obligations (CDO), Capital Risk Transfer modelling and pricing of assets across the Bank.
- Demonstrating the capability of bringing innovative ideas.
- Engage in research as required into ground breaking techniques for building and testing portfolio optimisation, quantitative risk management, credit models, market and economic valuations.
- Work closely with capital markets and business specialists to ensure accurate assessment and consideration of risks for pricing.
- Develop quantitative tools and prototypes to price loans, bonds and CDOs.
- Build methodologies and tools to optimise return for portfolio management, including asset selection, developing frameworks to identify the optimal distribution opportunities and calculating the economic value of distribution and hedging transactions.
- Knowledge of credit hedging and securitisation, especially within the Banking book.
- Experience in quantitative credit modelling and pricing valuation
- Outstanding mathematical skills
- Proficient in programming languages (C# and Python) and Excel.
Vacancy Type: Full Time
Job Location: London, England, United Kingdom
Application Deadline: N/A