Credit Risk Quant Analyst PD EAD LGD
JOB DESCRIPTION
We’re a leading investment bank, expanding its wholesale credit risk quantitative coverage, through quantitative techniques, stress testing, data analysis, and risk modeling. The group is looking to add a quant analyst capable of modeling PD, EAD, LGD wholesale credit risk on their San Francisco desk. Along with model development role offers a lot of business exposure and a lean team where you will be noticed for your work.
Locations: San Francisco, USA
The role:
- Responsible for devising, developing and monitoring credit risk models for PD, LGD, EAD.
- Model development for building credit risk quantitative models across risk weighted assets i.e. probability default, loss given default and exposure default.
- Documenting the model development process.
- Applying economic capital and risk-adjusted performance measurements.
- Experience with credit cycle and mortgages would be highly beneficial.
- Responsibilities in leading new projects, products and analytical efforts.
- 2-5 years credit risk modeling and exposure to statistical techniques experience.
- Will have firm understanding of PD LGD EAD credit risk models.
- Ideally knowledge of credit risk software i.e. KMV.
- A degree in finance or technical discipline is preferred – masters or above.
- Experience with credit risk and statistical analysis.
- FRM and CFA would be a plus but not essential.
KEY WORDS:
Consumer Credit Risk, model development, building credit risk models, risk weighted assets, probability default, loss given default, exposure given default, KMV, Credit risk lifecycle, Data mining, Auto, Mortgage, Residential credit risk assessment, credit risk modeling, Basel II, Basel III, Risk lifecycle, Statistical analysis, EAD modeling, LGD modelling, PD modeling, Stress testing.
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 | risk.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 | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90024 | Office Hours: 7.00-21.00 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
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