- 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.