Director – Operational Risk Analytics – Tier 1 Investment Bank – New York & Virginia, USA

JOB DESCRIPTION

Lead the operational risk modeling team’s development of Basel II compliant Loss Distribution Approach (LDA) models and serve as a serve as a subject matter expert in development of statistical models and distributions to support other areas of economic capital modeling. This effort includes assessing the quality of internal data, incorporation of external data where appropriate, development of loss frequency and severity distributions, and monte carlo simulation to estimate capital requirements for operational risk. This individual will also be called on to establish rigorous statistical approaches to measuring credit loss distribution curves for credit economic capital and to support strategic risk modeling as needed. More specifically:

• Support the company’s Basel II preparedness and effectively execute on Pillar II ICAAP projects pertaining to operational risk capital.

• Support the operational risk data gathering effort with clearly defined data requirements, assessment of current data limitations for modeling purposes, and development of analytical approaches to assess and characterize data quality going forward.

• Lead team in the development and maintenance of statistical loss models for operational risk with a medium term goal of achieving Basel II compliance.

• Provide expert input and support for statistical model development for credit economic capital and strategic risk modeling.  Work could include correlation modeling, loss distribution fitting, and Monte Carlo simulation model development.  

• Produce written documentation on modeling results for use in model validation and regulatory review. 

• Communicate results with business partners to support education regarding risk trends as well as to obtain feedback based on business intuition around results.  Develop effective communication pathways to develop and maintain understanding around and credibility for the economic capital rates to enable effective use. 

• Interface with the regulators, model validation, and internal model governance teams to facilitate understanding of our economic capital modeling and to effectively take-away feedback.

Basic Qualifications:

• Master’s degree in quantitative finance, economics, engineering, statistics or another quantitative discipline

• 5 years risk analytics experience

• Experience with operational risk modeling and Basel II

Preferred Qualifications

• PhD in Finance, Economics, or the Sciences preferred

• 7+ years of financial services experience, banking experience preferred

• 5+ years risk analytics experience

• 3+ years experience with Basel II

• Strong Matlab and/or SAS programming skills

• Solid knowledge of operational risk capital modeling

• Strong technical writing skills and experience in preparing documentation for model validation or regulatory review

• Strong presentation and communication skills

• Ability to communicate highly technical concepts effectively

• Ability to bring both an academic and practical perspective to the role

• Highest ethical standards

• Team player receptive to collaborative sharing of ideas

• Experience managing people and building strong teams

In return they are offering:

• A huge opportunity to attain significant progression within a growing Company

• Snacks and meals provided daily

• Fitness Center with group activities

• Full Benefits package

• Excellent opportunity for progression and potential leadership exposure (depending on your level)

• Direct impact on the business that ultimately means hands on exposure

• Career advancement and competitive compensation structure

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.

Key Words: market risk, credit risk, modeling, counterparty risk, basel, phd, monte carlo , real estate, mbs ,matlab, sas

APPLY | quant-jobs@g-q-r.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.

LONDON | 020.3207.9090

St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT

NEW YORK | 1.212.763.8333

1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT

HONG KONG | 852.3678.6738

2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT

LOS ANGELES | 1.310.806.9333

12100 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 6.00-21.00 PDT

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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