Credit Risk Quant – Basel Team – Investment Bank – Boston recruitment
For a credit risk group that has identified a core group of model building statisticians and econometrical quants, this role will allow you to be involved in building models that produce Probability of Default, Loss Given Default and Exposure at Default. Using your expereince garnered from a background in credit risk, and your PhD, you will elevate the model development process to a better state through new model approaches and coordinate the development of wholesale or retail credit risk parameters and expected loss models by performing technical analysis. Your responsibility will lie in improving and enhancing existing models as well as building new models from scratch and also to co-ordinate the development, maintenance and enhancement of econometric models for various RD projects, such as macro-economic linkage models and stress testing methodologies. Your expertise will also be called on to advise and perform ad hoc model building tasks for other risk areas.
The right candidate will have 5 years or more of specific quantitative risk analytics experience in a credit risk team following their PhD. If you do not have a PhD, 7 years of experience would be considered. You must have a range of expertise in credit risk modelling related to Basel II and have excellent communication skills both written and verbal.
If you wish to be considered, please upload your resume for the attention of Ruth Steel and her team at Huxley Associates, Boston.