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

JOB DESCRIPTION

Our Client is searching for an experienced statistical leader to become the team lead for Retail Model Validation for Basel II models relating to Pillar I and Pillar II capital requirements. The role will be part of the Scoring Office (within Risk Management), which is responsible for the governance of all models and predictions across the enterprise.

Responsibilities:
• Lead a team in charge of directly validating all Basel-related models for all Retail portfolios

• Ensure defendability of modeling results by providing effective challenge and independent review
• Directly contribute to a variety of validation activities, including review of model design, data review, building internal benchmark models, evaluating stress scenarios, and sensitivity analyses
• Influence the prevailing best practices for the core team of model builders
• Engage with regulators as needed to showcase independent review results
• Communicate important issues to senior management in business units and within Risk Management

• Direct management of other associates

Profile for Success:
• Credible technical and quantitative analysis skills

• Strong technical writing and communication of issues to stakeholders
• Interpersonal skills to support successful influence on issues of importance
• Ability to direct and mentor more junior staff
• Drive work results without heavy oversight from others
• Work simultaneously across multiple work engagements

Basic Qualifications:
• Masters Degree in Statistics, Economics, Math, Industrial Engineering or Operations Research
• 5 Years experience in Statistical, or Econometrics hands-on work (can include Graduate School Research work)
• 3 years experience building PD/LGD/EaD models for retail portfolios in a Basel setting
• 3 years experience using SAS

Preferred Qualifications:
• Doctorate in Economics, Statistics or Math

• Direct prior experience as a hands-on validator of models
• 5-10 Years experience in Statistical hands-on work
• 5-10 Years experience using SAS
• 2 Years experience manipulating and performing analysis with large databases
• 2 Years experience in Credit risk modeling

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, Pillar I, Pillar II ,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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