Tasks include but are not limited to:

• Lead development of model(s) for default risk, the recovery rate assumptions and exposure at default estimation and their ongoing validations and refinements.
• Focusing on credit portfolio model(s) to determine and refine economic capital for the Group
• Stress testing and pricing tools.
• Assist in implementation of these models.
• Management of credit and loss related data
• Detailed analytic development, validation and calibration of the default (or expected loss) models
• Analysis and testing of the recovery rate model

The ideal candidate will possess a strong quantitative-based Msc with a PhD as an advantage. Ideal experience would be within a large bank within a quantitative based team.