Principal Structured Finance Quantitative Specialist

Job Posting Organization:
The European Bank for Reconstruction and Development (EBRD) is a pioneering international financial institution that was established in 199

• The EBRD's mission is to foster the transition towards open market-oriented economies and to promote private and entrepreneurial initiative in countries from Central Europe to Central Asia and the Southern and Eastern Mediterranean. The organization operates in over 30 countries and employs a diverse workforce of approximately 2,000 employees. The EBRD is committed to sustainability, equality, and digital transformation, and it values inclusiveness, innovation, trust, and responsibility in its operations.

Job Overview:
The Principal Structured Finance Quantitative Specialist is tasked with the critical responsibility of designing, developing, and maintaining internal models that support investment evaluations and risk-based pricing for Significant Risk Transfer (SRT) transactions and other structured finance instruments. This role is highly technical and requires a deep understanding of quantitative modelling and credit risk analytics. The specialist will focus on modelling and analyzing the credit quality and behavior of underlying portfolios, with the aim of quantifying risk, assessing loss profiles, and supporting pricing and investment decisions from the perspective of an investor taking credit risk. The position involves collaboration across various teams, ensuring accurate pricing, tranche structuring, and credit enhancement sufficiency for investments. The Principal will also provide analytical support throughout the transaction lifecycle, from initial structuring to post-trade monitoring, and will act as the internal expert for asset modelling across portfolios.

Duties and Responsibilities:
The key responsibilities of the Principal Structured Finance Quantitative Specialist include: designing, building, validating, and maintaining internal asset and cash flow models to assess portfolio credit risk and tranche performance for SRT and other structured finance transactions; implementing Monte Carlo simulations and other stochastic techniques to model portfolio losses and expected loss distributions; developing and maintaining infrastructure primarily in Python, processing large datasets, and integrating with SQL, Excel/VBA, and open-source libraries; calibrating models using historical performance data and ensuring alignment with regulatory and rating frameworks; leading the quantitative risk workstream for structured finance transactions; preparing and presenting documentation and presentations of model results for investment committees and senior management; ensuring compliance with internal governance and audit standards; coordinating with model validation teams; presenting quantitative findings to stakeholders; mentoring junior analysts; and contributing to continuous improvement in structured finance analytics and modelling toolkits.

Required Qualifications:
Candidates must possess strong quantitative skills in financial modelling and statistics/econometrics. An advanced degree (MSc or PhD) in a quantitative discipline such as Mathematics, Engineering, Statistics, Physics, Computer Science, or Quantitative Finance is required. Significant practical experience in structured finance modelling, securitization analytics, or quantitative risk within a bank, asset manager, rating agency, or consultancy is essential. Proficiency in Python, MATLAB, and/or C++ is necessary, along with experience in building, validating, and maintaining large-scale asset and risk models. Candidates should have expert knowledge of Monte Carlo simulation, credit curve construction, portfolio loss modelling, and stress testing.

Educational Background:
The educational background required for this position includes an advanced degree, specifically a Master's or PhD, in a quantitative discipline. This could encompass fields such as Mathematics, Engineering, Statistics, Physics, Computer Science, or Quantitative Finance, which provide the necessary theoretical foundation and analytical skills required for the role.

Experience:
The position requires significant practical experience in structured finance modelling, securitization analytics, or quantitative risk. Candidates should have a proven track record of working within a bank, asset manager, rating agency, or consultancy, demonstrating their ability to apply quantitative methods in real-world financial contexts. Experience with structured finance analytics platforms and database extraction is also desirable.

Languages:
While the job description does not specify mandatory languages, proficiency in English is essential given the international nature of the organization and the need to communicate complex technical concepts clearly. Additional languages may be beneficial but are not explicitly required.

Additional Notes:
This position is a short-term contract lasting 23 months. It is based in London, United Kingdom, and is full-time. The EBRD promotes a hybrid workplace that offers flexibility and prioritizes employee wellbeing, providing a comprehensive suite of competitive benefits. The organization encourages applications from all qualified candidates, ensuring an inclusive environment that respects diversity.