Principal Structured Finance Quantitative Specialist

European Bank for Reconstruction and Development; Greater London; Hybrid; GBP 70,000 - 90,000; Full time

Job summary

A leading international development bank in Greater London seeks a Principal Structured Finance Quantitative Specialist to design and maintain models for investment evaluation and risk-based pricing. This role includes developing quantitative models and analytics to assess portfolio credit risk and structure securitisations. Candidates should have a strong quantitative background, advanced degrees in relevant fields, and experience with Python and financial modelling. The position offers a hybrid work environment and an inclusive corporate culture.

Benefits

Comprehensive suite of competitive benefits

Flexible working culture

Employee well-being prioritization

Qualifications

• Significant practical experience in structured finance modelling, securitisation analytics, or quantitative risk
• Experience with structured finance analytics platforms (Intex, Moody’s SFW, Bloomberg SFLC)
• Experience with QuantLib and sensitivity analysis tools desirable

Responsibilities

• Design and maintain internal asset and cash flow models
• Implement Monte Carlo simulations to model portfolio losses
• Prepare and present documentation and presentations of model results

Skills

Strong quantitative skills in financial modelling and statistics/econometrics

Proficient in Python

Expert knowledge of Monte Carlo simulation

Strong written and verbal communication skills

Detail-oriented

Education

Advanced degree (MSc or PhD) in Mathematics, Engineering, Statistics, Physics, Computer Science, or Quantitative Finance

Tools

Python

SQL

MATLAB

C++

Job description

Purpose of Job

Principal for Structured Finance Quantitative Specialist has the overall responsibility for the design, development, and maintenance of internal models to support investment evaluation and risk‑based pricing of Significant Risk Transfer (SRT) transactions and other structured finance instruments within Banking (Financial Institutions team). This highly technical role focuses on modelling and analysing the credit quality and behaviour of underlying portfolios, with the objective of quantifying risk, assessing loss profiles, and supporting pricing and investment decisions from the perspective of an investor taking credit risk. The role is focused on ensuring accurate pricing, tranche structuring, and credit enhancement sufficiency for investments.

The role involves working at the intersection of quantitative modelling, deal structuring, and credit risk analytics. Principal will act as the internal expert for asset modelling across portfolios and provide analytical support throughout the transaction lifecycle—from initial structuring to post‑trade monitoring. Principal is responsible for the design and delivery of technical training sessions for FI – EU Banks and Structured Finance team members, ensuring consistent understanding and application of structured finance risk analytics and modelling tools and acts as the main point of contact on all issues related to the development and design of structured finance quantitative risk measures.

Background

The Principal Structured Finance Quantitative Specialist will play a key role in supporting the Financial Institutions (FI) team in the structuring, risk assessment and execution of significant risk transfer securitisations and other structured portfolio risk transactions. The role focuses on the development and application of quantitative models and analytics to assess portfolio credit risk, structure securitisations, and support investment decision‑making in line with the Bank’s mandate to promote innovative structure finance solutions across the EBRD regions.

Accountabilities & Responsibilities

• Design, build, validate, and maintain internal asset and cash flow models to assess portfolio credit risk and tranche performance for SRT and other structured finance transactions (i.e. synthetic securitisations, cash ABS, credit‑linked notes, warehousing, future flows)
• Implement Monte Carlo simulations and other stochastic techniques to model portfolio losses, correlation structures, expected loss distributions, and tranche structural resilience
• Develop and maintain infrastructure primarily in Python, process large datasets, integrating with SQL, Excel/VBA, and open‑source libraries
• Calibrate models using historical performance data, credit rating and correlation assumptions across asset classes (e.g., SME, corporate, consumer, trade receivables), ensuring alignment with regulatory and rating frameworks
• Lead the quantitative risk workstream for structured finance transactions, providing expected/stressed loss analysis, credit enhancement sizing, tranche pricing support, and sensitivity analysis
• Support the structuring, credit risk, capital, and legal teams to ensure model outputs inform deal structuring, pricing, and internal approvals
• Prepare and present clear, rigorous documentation and presentations of model results for investment committees, risk committees, and senior management
• Ensure all models adhere to internal governance, validation, and audit standards, including periodic recalibration and documentation
• Coordinate with model validation teams and external/internal auditors to defend modelling approaches and implement improvements
• Present quantitative findings to internal stakeholders, including internal committees and senior management
• Act as the internal quantitative subject matter expert for model‑related questions during due diligence, execution, and post‑trade monitoring
• Provide guidance and mentorship to junior analysts and associates, strengthening the team’s structured finance modelling and quantitative capabilities
• Contribute to continuous improvement in structured finance analytics, modelling toolkits, and internal standard and workflows

Knowledge, Skills, Experience & Qualifications

• Strong quantitative skills in financial modelling and statistics/econometrics
• Advanced degree (MSc or PhD) in a quantitative discipline such as Mathematics, Engineering, Statistics, Physics, Computer Science, or Quantitative Finance
• Significant practical experience in structured finance modelling, securitisation analytics, or quantitative risk within a bank, asset manager, rating agency, or consultancy
• Proficient in Python, MATLAB, and/or C++, with experience building, validating, and maintaining large‑scale asset and risk models
• Expert knowledge of Monte Carlo simulation, credit curve construction, portfolio loss modelling, stress testing, default correlation, and cash flow modelling for structured products
• Strong grasp of banking book risk concepts and credit analytics, such as Expected Credit Loss (ECL) models, PD/LGD modelling, credit enhancement analysis, recovery assumptions
• Familiarity with regulatory capital frameworks (CRR, Basel III/IV, EBA SRT guidelines) and with IRB models and economic capital approaches for internal credit risk
• Experience with structured finance analytics platforms (Intex, Moody’s SFW, Bloomberg SFLC) and database extraction and querying (SQL skills)
• Experience with QuantLib, risk pricing libraries, and sensitivity analysis tools desirable
• Strong written and verbal communication skills, with ability to present technical concepts clearly to non‑technical audiences at all levels
• A positive attitude to problem solving, identifying solutions and finding ways to overcome obstacles, if need be through compromise and consensus building
• Detail‑oriented, self‑driven, and capable of working under pressure to meet deadlines

What is it like to work at the EBRD? / About EBRD

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation, and use your talents to make a real difference to people’s lives and help shape the future of the regions we invest in.

At EBRD, our Values – Inclusiveness, Innovation, Trust, and Responsibility – are at the heart of how we work. We bring these to life through our Workplace Behaviours: listening well and speaking up, collaborating smartly, acting decisively with full commitment, and simplifying to amplify our impact. These principles shape our culture and define our success. We seek individuals who not only share these values but are also committed to embedding them in their daily work, fostering a positive and high‑performing environment.

The EBRD environment provides you with:

• Varied, stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial, political, public and private sectors across the regions we invest in.
• A working culture that embraces inclusion and celebrates diversity. Our workforce reflects a broad range of backgrounds, perspectives, and experiences, bringing fresh ideas, energy, and innovation and enhancing our ability to serve our clients, shareholders, and counterparties effectively.
• A hybrid workplace that offers flexibility to teams and individuals; that is based on trust, flexibility and connectedness.
• An environment that places sustainability, equality and digital transformation at the heart of what we do.
• A workplace that prioritises employee wellbeing and provides a comprehensive suite of competitive benefits.

Diversity is one of the Bank’s core values which are at the heart of everything it does. As such, the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial, ethnic, religious and cultural background, gender, gender identity, sexual orientation, age, socio‑economic background or disability.

Please note, that due to the high volume of applications received, we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration).