Basel II Modeling Manager – Tier 1 Investment Bank – New York & Virginia, USA

JOB DESCRIPTION

- Build Basel-II compliant scorecards and models for measuring obligor and facility risk
- Engage with Credit Approval and Underwriting organizations to understand loan and deal structures, facilitate discussion and drive agreement on proposed modeling approaches
- Take ownership of the model development process; lead all stages of model development from data collection, model building, model validation, testing and calibration
- Develop comprehensive model documentation that stands up to Capital One and regulatory standards
- Contribute to the development of a robust credit data analytical infrastructure for model development and validation
- Coordinate pilot and user acceptance tests prior to model implementation
- Partner with internal IT and vendor teams to implement models on selected rating platforms

Preferred Qualifications

• Master’s degree in quantitative finance, economics, engineering, statistics or another quantitative discipline

• 3+ years of financial services experience, banking experience preferred

• 3+ years risk analytics experience

• 2+ years experience with Basel II

• Strong Matlab and/or SAS programming skills

• Solid knowledge of risk capital modeling

• Strong technical writing skills and experience in preparing documentation for model validation or regulatory review

• Strong presentation and communication skills

• Ability to communicate highly technical concepts effectively

• Ability to bring both an academic and practical perspective to the role

• Highest ethical standards

• Team player receptive to collaborative sharing of ideas

In return they are offering:

• A huge opportunity to attain significant progression within a growing Company

• Snacks and meals provided daily

• Fitness Center with group activities

• Full Benefits package

• Excellent opportunity for progression and potential leadership exposure (depending on your level)

• Direct impact on the business that ultimately means hands on exposure

• Career advancement and competitive compensation structure

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.

Key Words: market risk, credit risk, modeling, counterparty risk, basel, phd, monte carlo , real estate, mbs ,matlab, sas

APPLY | quant-jobs@g-q-r.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.

LONDON | 020.3207.9090

St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT

NEW YORK | 1.212.763.8333

1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT

HONG KONG | 852.3678.6738

2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT

LOS ANGELES | 1.310.806.9333

12100 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 6.00-21.00 PDT

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.

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