Credit Risk Quant Analyst PD EAD LGD
JOB DESCRIPTION
Calling all credit risk quants! Already a dominant presence within quantitative credit risk, this leading investment bank is expanding its consumer credit risk assessment through greater quantitative techniques, stress testing, data analysis, and risk modeling. You should have a track record of building quantitative risk models . Offering experienced Credit Risk expert’s high profile exposure, quantitative techniques, data trend assessment, and portfolio analysis. The group is looking to add an experienced PD, EAD, LGD modeling and consumer credit risk quants on their Pittsburgh desk.
Locations: Pittsburgh, USA
The role:
- Responsible for devising, developing and monitoring credit risk models such as PD, EAD, LGD.
- Develop and build credit risk quantitative models across risk weighted assets i.e. probability default, loss given default and exposure default.
- Covering Basel and statistical analysis for existing credit default risk models.
- Applying statistical techniques to testing these models.
- Experience with credit cycle and mortgages would be highly beneficial.
- Responsibilities in leading new projects, products and analytical efforts.
Requirements:
- 3-7 years credit risk modeling and exposure to statistical techniques experience.
- Will have firm understanding of PD LGD EAD credit risk models.
- A degree in finance or technical discipline is preferred – masters or above.
- Experience with consumer credit risk and statistical analysis.
- Able to utilize data to spot risk trends i.e. identify risk data trends.
- FRM and CFA would be a plus but not essential.
- High energy level quant – must be a go getter!
KEY WORDS:
Consumer Credit Risk, model development, building credit risk models, risk weighted assets, probability default, loss given default, exposure given default, 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 | 1.310.807.5032
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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