Quantitative Credit Modelling ConsultantThe Company
Willis Towers Watson is a leading global advisory, broking and solutions company that helps clients around the world turn risk into a path for growth. With roots dating to 1828, Willis Towers Watson has 39,000 employees in more than 120 territories. We design and deliver solutions that manage risk, optimize benefits, cultivate talent, and expand the power of capital to protect and strengthen institutions and individuals. Our unique perspective allows us to see the critical intersections between talent, assets and ideas — the dynamic formula that drives business performance.
Unlock your potential at Willis Towers Watson.
As companies struggle to improve business performance, they increasingly expect risk management to support the broader financial objectives. Willis Towers Watson understands the crucial link between risk and capital, whether you are an insurer concerned about capital management, a CFO focused on risk management or an investment committee seeking to balance risk and return. As a leading investment consultant, we help organizations manage investment complexity, establish risk tolerance and improve governance.
The economic and asset modelling team operates globally and provides investment analytics and consultancy to clients spanning the international insurance, pension, banking, endowment and private / sovereign wealth sectors. Our economic and asset models underlie risk and investment management advice provided to clients with over $4tn of asset exposure across a diverse range of products.
We develop stochastic models for economic variables and asset class returns, design and implement valuation and pricing tools and asset-liability modelling solutions.
The economic and asset modelling team provides analytics for both sides of a liability-driven investor’s balance sheet. On the asset side, we develop time-series models and valuation tools covering a wide range of economic variables, with a particular focus on yield curve and credit models. On the liability side, we develop market-consistent models covering vanilla instruments, derivatives, and structured products.
Working in a research-driven environment, we provide modelling tools and quantitative support to external clients and to client-facing investment strategy consultants.
The first model to be developed is a state-of-the-art credit model for a real world ESG. This will include developing a calibration approach and bringing the model into the production release of STAR. The successful candidate will research and prototype a number of options and assess how well these achieve the business requirements. The role will involve working in the 20-strong team of quants and liaising with our investment analysts to overlay Willis Towers Watson’s credit forecasts on the model output.
Job RequirementsThe Requirements
- Prior experience of credit modelling
- Advanced degree in a quantitative subject (Mathematics, Engineering, Finance): MSc required, PhD preferred
- Strong grasp of statistics, probability theory, time-series analysis and stochastic calculus
- Strong knowledge of asset valuation and risk management techniques, with at least 2 years of prior work experience in this field
- Familiarity with statistical computing packages, such as Matlab or R, and programming languages (VBA, C#).
- Team player comfortable in a professional services environment with the ability to effectively debate and subsequently influence internally & externally at all levels
- Enquiring and analytically minded with a logical and thorough work ethic
Closing Date: Monday 8th August 2016
Salary: Highly Competitive
Willis Towers Watson is an equal opportunities employer and does not discriminate on any basis. We support and promote flexible working and this role will be considered on a flexible basis