Quant Credit Research Analyst

Quantitative Credit Research Analyst urgently required to join world calibre quantitative team at a global investment bank to work on improvement, development and validation of cutting edge credit risk tools required for compliance with 'Advanced IRB' minimum standards. Key tasks are default modelling, validation of recovery rate assumptions based on internal and external histories and exposure at default estimation. Other key tasks include exposure modeling of derivative transactions across all asset classes. Excellent opportunity to be leading quant on high profile Global Credit Risk Project.Top calibre quantitative analyst with exceptional statistical skills is required to contribute to quantitative aspects of credit risk designing, validating and calibrating tasks to meet sophisticated credit risk management teams objectives. Build new rating application, desktop application and cover all aspects of traded credit modelling.  Work on detailed analytical and statistical development of default model, analyse and test recovery rate 'point in time ' model, exposure at default assessment and review new products risking methodologies. Candidates must have 3-5 years Quantitative experience in credit risk, economic capital, portfolio mangement and traded derivative models. Strong academics are essential, PHD ideal as well as excellent background in econometrics, credit risk models such as KMV, CreditMetrics and default models. Excellent Financial package and career progression.Please send a Word CV to Tina Kaul at