Active Mandate – Senior Vice President Model Validation
JOB DESCRIPTION
As an expansion growth, we’re looking to add skilled credit risk model validation quants to our wholesale credit risk management team, validating and assessing our risk models. This is a very hands on role in a team who are all PhD or Masters Quants and very strong with financial mathematics. In validating the models and independently rebuilding them, this will go beyond purely model comparison, calibration and checking performance.
Location: Alabama, USA
The role:
- Validate existing new Corporate/Wholesale/Enterprise/Commercial credit risk models.
- Knowledge of risk models including, “PD, LGD and EAD.”
- Rebuilding models from scratch, testing, replicating and challenging their performance.
- Mathematical analysis of financial markets, understanding how models relate to the markets.
- Wholesale credit stress testing for the Fed’s CCAR requirements.
- Review code for model implementation and document properly in analytics library.
Requirements:
- 5-8 years experience working on a model validation or model review quant desk.
- Looking for those with a strong grasp of financial mathematics.
- Professional programming background in Matlab, R, SAS, VBA, SQL.
- An excellent PhD or Masters with a strong quantitative related subject.
- Excellent communication skills in order to express complicated methodologies and theories.
In return they are offering:
- Huge opportunity to attain full training, hands on exposure within the quant analytics space.
- An opportunity to work in the quant space outside of Wall Street.
- The intellectual stimulation and challenge of working within growing, cutting edge globally delivering analytics group.
- Have daily interaction with the business and be a key part of their unrivalled success, whilst enhance one’s own diversity of credentials and have the chance to work with the best model validation team in the space.
Key words: model validation, PG,LGD, EAD models, independently rebuild models, model comparison, model review, credit risk, commercial, wholesale, corporate, quant, quant analytics, quantitative analytics commercial real estate, commercial banks.
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
APPLY | quant.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.806.9333
12100 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 020.3207.9090
St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
We operate globally and leverage our extensive relationships to unite the most talented people with the most intellectually and financially rewarding career opportunities throughout Europe, the United States, Asia and the Middle East.
We are committed to protecting and respecting your privacy. Information on our privacy policy, together with our terms of business are available at www.g-q-r.com.
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