ECL Quant Analyst (VP), London

Ref: IFRS-1708
Total to £225k Total + Benefits
Leading Investment Bank
Expected Credit Loss, CVA, Market Risk-IRB-Provisioning, C# or C++

This leading Investment Bank seeks to hire an experienced Quant Dev (VP) to join their XVA group to  covers valuation adjustments, from user tools, through library development, to overnight and intra-day runs.  The valuation adjustments cover both the Trading Book, e.g. CVA, and Banking Book, in particular Expected Credit Loss (ECL).  This is an excellent opportunity to join a growing institution and work on leading-edge projects and modelling.


  • Develop and be responsible for ECL models across the Securities trading business and the banking book
  • Develop and support the IFRS-9 including including classification, etc
  • Communicate with multiple Front Office & Risk stakeholders


  • Minimum 3 years'+ experience in ECL model development & support, gained in the Front Office, Model Val or Risk 
  • Good programming skills in either C# or C++
  • Good derivatives understanding, particularly in Rates, or FX models, & hedging
  • Will consider a Market Risk Quant with IRB experience and good understanding of Provisioning.
  • Familiar with Capital Regulations
  • MSc in a hard science or engineering discipline.