Quant Analyst (AVP Level) - Credit Risk Modelling

Mazars; Greater London; On-site; GBP 45,000 - 65,000; Full time

Job summary

A leading financial consultancy in Greater London is seeking a candidate for their Quantitative Finance team. The role involves delivering various quantitative finance projects, validating models, and contributing to business development. Candidates must hold a relevant master's degree and possess experience in credit risk modelling and derivative pricing. Familiarity with Python, R, or C++ is essential. The firm values diversity and promises a supportive environment for growth and inclusivity.

Qualifications

• Must have experience in credit risk modelling (IFRS 9, IRB modelling).
• Advanced knowledge in derivative pricing and quantitative risk management.
• Strong experience in either Python, R or C++.

Responsibilities

• Contribute to multidisciplinary engagement teams delivering quantitative finance projects.
• Conduct model validation for various quantitative risk management models.
• Oversee summer internship projects and support business development.

Skills

Credit risk modelling

Derivative pricing

Quantitative risk management

Stochastic calculus

Statistics

Probabilities

Python

R

C++

Model validation

Machine learning

Education

Master's degree in a quantitative discipline

Job description

Job Purpose

Within the Quantitative Finance team of the Risk Consulting department, you will interact mainly with banks on a variety of projects related to Market Risk, Counterparty Credit Risk, Credit Risk and Climate Risk. You will hold or about to hold a master's degree in Quant Finance, Mathematics or Statistics.

Job Role

• Contribute in small and large-sized multidisciplinary engagement teams delivering quantitative finance projects for clients
• Cross-asset derivative pricing including valuation adjustments (XVA). Calibration of models using best industry practices
• Model validation for small to large size clients, for quantitative risk management models such as (PD / LGD, VaR, Expected Shortfall, EPE / PFE)
• Implementation review of accounting standards such as FRTB, IFRS9, CECL
• Development of internal pricing libraries and tools (e.g. C / ECL, stress testing)
• Oversee summer internship projects
• Contribute to Mazars’ regulatory watch activities by writing articles or providing technical content
• Support business development by preparing client proposals
• Help with administrative tasks (such as training and recruitment)

Person Specification

• Must have experience in credit risk modelling (IFRS 9, IRB modelling)
• Holds a 2.1 or above Master's degree in a quantitative discipline e.g. mathematics, statistics, quantitative finance
• Advanced knowledge in derivative pricing, quantitative risk management (covering credit, market and counterparty risk), stochastic calculus, modelling, statistics and probabilities
• Strong significant experience either in derivative pricing, credit (PD and LGD modelling) and market (VaR, Expected Shortfall, FRTB) risk modelling
• Strong experience in either of Python, R or C++
• Ability to work in a team
• Desired experience / skills: model validation and machine learning

Diversity, Equity & Inclusion

At Forvis Mazars diversity, equity and inclusion are central to our values. We value our people's unique backgrounds, perspectives, and experience, and know this diversity create better outcomes for our clients.

We seek to attract, develop, and retain the best talent, inclusive of sex, ethnicity, disability, socio-economic background, sexual orientation, gender identity, nationality, and faith.

We select candidates based on skills, knowledge, qualifications, and experience and aim to support all our team members to reach their potential.

At Forvis Mazars, we promote an environment in which youcan growyour skills,belongto a team that values your ideas, and make animpactthat matters.