Principal, Structured Finance Quantitative Specialist

Purpose of Job

Principal for Structured Finance Quantitative Specialist has the overall responsibility for the design development and maintenance of internal models to support investment evaluation and risk-based pricing of Significant Risk Transfer (SRT) transactions and other structured finance instruments within Banking (Financial Institutions team).
This highly technical role focuses on modelling and analysing the credit quality and behaviour of underlying portfolios with the objective of quantifying risk assessing loss profiles and supporting pricing and investment decisions from the perspective of an investor taking credit risk. The role is focused on ensuring accurate pricing tranche structuring and credit enhancement sufficiency for investments.
The role involves working at the intersection of quantitative modelling deal structuring and credit risk analytics. Principal will act as the internal expert for asset modelling across portfolios and provide analytical support throughout the transaction lifecyclefrom initial structuring to post-trade monitoring. Principal is responsible for the design and delivery of technical training sessions for FI EU Banks and Structured Finance team members ensuring consistent understanding and application of structured finance risk analytics and modelling tools and acts as the main point of contact on all issues related to the development and design of structured finance quantitative risk measures.

Background

The Principal Structured Finance Quantitative Specialist will play a key role in supporting the Financial Institutions (FI) team in the structuring risk assessment and execution of significant risk transfer securitisations and other structured portfolio risk transactions.
The role focuses on the development and application of quantitative models and analytics to assess portfolio credit risk structure securitisations and support investment decision-making in line with the Banks mandate to promote innovative structure finance solutions across the EBRD regions.

Accountabilities & Responsibilities
Principal Structured Finance Quantitative Specialists key responsibilities may include the following:

Design build validate and maintain internal asset and cash flow models to assess portfolio credit risk and tranche performance for SRT and other structured finance transactions (i.e. synthetic securitisations cash ABS credit-linked notes warehousing future flows)
Implement Monte Carlo simulations and other stochastic techniques to model portfolio losses correlation structures expected loss distributions and tranche structural resilience
Develop and maintain infrastructure primarily in Python process large datasets integrating with SQL Excel/VBA and open-source libraries
Calibrate models using historical performance data credit rating and correlation assumptions across asset classes (e.g. SME corporate consumer trade receivables) ensuring alignment with regulatory and rating frameworks
Lead the quantitative risk workstream for structured finance transactions providing expected/stressed loss analysis credit enhancement sizing tranche pricing support and sensitivity analysis.
Support the structuring credit risk capital and legal teams to ensure model outputs inform deal structuring pricing and internal approvals.
Prepare and present clear rigorous documentation and presentations of model results for investment committees risk committees and senior management.
Ensure all models adhere to internal governance validation and audit standards including periodic recalibration and documentation
Coordinate with model validation teams and external/internal auditors to defend modelling approaches and implement improvements
Present quantitative findings to internal stakeholders including internal committees and senior management
Act as the internal quantitative subject matter expert for model-related questions during due diligence execution and post-trade monitoring
Provide guidance and mentorship to junior analysts and associates strengthening the teams structured finance modelling and quantitative capabilities
Contribute to continuous improvement in structured finance analytics modelling toolkits and internal standard and workflows

Knowledge Skills Experience & Qualifications

Strong quantitative skills in financial modelling and statistics/econometrics.
Advanced degree (MSc or PhD) in a quantitative discipline such as Mathematics Engineering Statistics Physics Computer Science or Quantitative Finance
Significant practical experience in structured finance modelling securitization analytics or quantitative risk within a bank asset manager rating agency or consultancy.
Proficient in Python MATLAB and/or C with experience building validating and maintaining large-scale asset and risk models
Expert knowledge of Monte Carlo simulation credit curve construction portfolio loss modelling stress testing default correlation and cash flow modelling for structured products
Strong grasp of banking book risk concepts and credit analytics such as Expected Credit Loss (ECL) models PD/LGD modelling credit enhancement analysis recovery assumptions
Familiarity with regulatory capital frameworks (CRR Basel III/IV EBA SRT guidelines) and with IRB models and economic capital approaches for internal credit risk
Experience with structured finance analytics platforms (Intex Moodys SFW Bloomberg SFLC) and database extraction and querying (SQL skills)
Experience with QuantLib risk pricing libraries and sensitivity analysis tools desirable
Strong written and verbal communication skills with ability to present technical concepts clearly to non-technical audiences at all levels
A positive attitude to problem solving identifying solutions and finding ways to overcome obstacles if need be through compromise and consensus building
Detail-oriented self-driven and capable of working under pressure to meet deadlines

What is it like to work at the EBRD / About EBRD

Our agile and innovative approach is what makes life at the EBRD a unique experience! You will be part of a pioneering and diverse international organisation and use your talents to make a real difference to peoples lives and help shape the future of the regions we invest in.

At EBRD our Values Inclusiveness Innovation Trust and Responsibility are at the heart of how we work. We bring these to life through our Workplace Behaviours: listening well and speaking up collaborating smartly acting decisively with full commitment and simplifying to amplify our impact. These principles shape our culture and define our success. We seek individuals who not only share these values but are also committed to embedding them in their daily work fostering a positive and high-performing environment.

The EBRD environment provides you with:

• Varied stimulating and engaging work that gives you an opportunity to interact with a wide range of experts in the financial political public and private sectors across the regions we invest in.
• A working culture that embraces inclusion and celebrates diversity. Our workforce reflects a broad range of backgrounds perspectives and experiences bringing fresh ideas energy and innovation and enhancing our ability to serve our clients shareholders and counterparties effectively.
• A hybrid workplace that offers flexibility to teams and individuals; that is based on trust flexibility and connectedness.
• An environment that places sustainability equality and digital transformation at the heart of what we do.
• A workplace that prioritises employee wellbeing and provides a comprehensive suite of competitive benefits.

Diversity is one of the Banks core values which are at the heart of everything it does. As such the EBRD seeks to ensure that everyone is treated with respect and given equal opportunities and works in an inclusive environment. The EBRD encourages all qualified candidates who are nationals of the EBRD member countries to apply regardless of their racial ethnic religious and cultural background gender gender identity sexual orientation age socio-economic background or disability.

Please note that due to the high volume of applications received we regret to inform you that we are unable to provide detailed feedback to candidates who have not been shortlisted (for further consideration).