Credit Risk Modelling - Senior Manager

Recruiter
Orange Malone
Location
London
Salary
£90-110k + benefits and bonus.
Posted
17 Jan 2019
Closes
13 Feb 2019
Employer Sector
Financial Services, Insurance
Contract Type
Permanent
Hours
Full Time
Travel
None

A large life company is looking for an experienced credit risk specialist to lead on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk.  This will include both the credit asset exposure and liability side exposure via Matching Adjustment.

You will also be asked to manage the regular production of credit calibrations for use in reporting processes making certain appropriate controls are in place to ensure sound capital management. Other tasks include: diagnosis and explanation of calibration movements and drafting and maintenance of credit risk calibration documentation.

Ideally you'll have knowledge of market best practice statistical and risk modelling techniques and knowledge of portfolio credit modelling and single name credit models including structural models.

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