Credit Risk Quantitative Analyst recruitment
Position Category: Risk Management
Position Title: Credit Risk Quantitative Analyst
Job Level: Vice President
Location: USA - NY - New York
Education Required: Masters Degree
Position Description:
Position Description
The Credit Risk Methodology Group has an opening for a highly motivated individual to review and validate credit risk models such as counterparty rating templates, probabilities of default, loss given default, and exposures. This individual will work closely with the various groups within the Credit Risk Management Department in evaluating rating models and assessing credit exposure.
Responsibilities
• Provide independent review and validation of internal rating scorecard methodologies for both PD and LGD ratings. This requires thorough statistical analysis of the underlying data, such as regression and discriminant analyses, and understanding of the various risk factors that impact the credit quality of an obligor. This also requires the analyst to develop credit model performance monitoring and validation techniques.
• Provide independent review of the parameters used to calculate credit risk. This involves statistical analysis of the data used to calculate probabilities of default (PD) and loss given default (LGD) that are assigned to each obligor or facility.
• Write high-quality model review documentation that satisfies the firm's internal model approval functions, audit requirements, and the Firm's regulators (e.g., FRB, OCC, and FSA).
Skills Required:
• Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, physics, math)
• Five to eight years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm
• Advanced statistical skills especially in the area of hypothesis testing, regression and discriminant analyses
Skills Desired:
• Statistical skills (e.g., probability theory, time series analysis) and facility with statistical packages would be desirable but are not required.
• Facility with programming languages (C, C++, or Java), database queries (SQL), and MATLAB.