Basel II Risk Analyst recruitment
Principal Accountabilities:
• Analyze internal and external data for portfolio segmentation and validation
• Scorecard development and validation for modeling probability of default (PD), loss given default (LGD) and exposure at default (EAD) under the framework of Basel II
• Determine, develop and document data requirements, modeling assumptions and model results for best practice methodologies deployed and alternatives approaches considered
• Work with lines of business to ensure models are business-driven and empirically derived
• Communicate and respond to internal model validation team for risk model approval
• Work with IT group to ensure that scorecard programs are accurately implemented
Minimum Requirements:
• Advanced degree in economics, statistics, operations research, or other quantitative disciplines.
• 2+ years of experience in building credit risk models in banking or financial service industry
• Knowledge of financial service products and risk characteristics to support quantitative analysis of credit risk.
• Familiarity with large database system and information warehouse, including experience in query writing and data manipulation using SAS, SQL, and etc.
• Strong credit risk model building experience
• Ability to meet deadlines for multiple projects
• Good communication skills
• Ability to work in a fast paced team environment
• Basel II modeling experience is preferred
• FICO Model Builder experience preferred