We are looking for a Credit Risk Modelling Analyst to join our team in London.

Support on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk to support LGR and other L&G Group businesses, including both the credit asset exposure and liability side exposure via Matching Adjustment.

Assist in design and implementation of updates and replacements to L&G’s credit models. Provide pragmatic solutions to remediate weaknesses and meet customer needs. Hands on coding of model developments (e.g. in R, Access, Excel, VBA).

Under direction use analytical methods to support understanding of the drivers of credit risk, including the market spread risk on credit assets.

Support the team’s work with stakeholders to develop and implement credit risk models to support practical, economically beneficial investment decision making across L&G Group including appropriate capital model treatments for new asset classes and structures.

Routine aspects of the regular production of credit calibrations for use in reporting processes including operation controls to ensure sound capital management. Diagnosis and explanation of calibration movements. Drafting and maintenance of credit risk calibration documentation.

Ensure that all credit risk modelling activities are consistent with the fair treatment of L&G’s customers.v

Financial model development capability including coding (eg R, VBA)

Good written and verbal communications, in particular clear and concise drafting of technical documentation, and ability to explain modelling concepts to non-experts

Basic knowledge of statistical and risk modelling techniques

Basic knowledge of insurance capital modelling including asset modelling

Quantitative first degree. Studying for FIA/CFA or other professional qualification (preferred but not required).

Whatever your role, we reward ability, performance and attitude with a package that looks after all the things that are important to you. Our employees have a wide range of benefits including a generous pension scheme, life assurance, 25 days’ holiday, private medical insurance, discretionary performance related bonuses, paid overtime, a variety of share schemes, discounts at both a huge range of high street stores and our own great products, your hard work will be rewarded when you join us.