Credit Risk Analytics (Basel II) recruitment
Credit Risk Analytics (Basel II)
Location: Singapore based
Salary: CIRCA 100k SGD up to 170k SGD + Bonus (Depending on the candidate's experience)
Responsibilities
• Develop, implement maintain credit risk analytic tools models of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and correlations
• Research and develop new model and enhancements of existing model suites to improve accuracy, timeliness and responsiveness to economic environment
• Work closely with business and product management to provide value adding risk analytics solutions for the enhancement of risk-return tradeoff
• Continuously enhance the deal pricing tool to incorporate new product features in response to feedback from users
• Monitor and back test credit risk models performance
• Develop, parameterize implement customized correlation model for Economic Capital and analytical approximation thereof
• Design and conduct stress testing models
• Liaise with regulators on model and Basel II related issues
Ideal Candidate
• Strong degree (preferably postgraduate degree) in an applied quantitative discipline (e.g. Economics, Statistics, Finance, Financial Engineering etc) with a clear ability for handling data and performing quantitative analysis
• CFA, FRM qualifications would be a strong plus
• Relevant experience in a wholesale/non-retail bank environment
• Working knowledge of statistical/mathematical/database software such as SAS, S-Plus, MathLab, MS Access etc a definitive plus
Candidates with relevant experience who are looking to relocate to Singapore are strongly encouraged to apply
Please apply to qrfsingapore@selbyjennings.com or call +65 6818 9110