Director Level – Quantitative Risk Analytics
Director Level - Quantitative Risk Analytics - Model Development (Basel II - Mortgage + Prepayment models) | Leading Global US Bank | New York, USA
Location - New York
Salary - $150k - 200k + benefits bonus
Description
A leading global bank is looking for a Director level candidate to work in the firms New York office and lead the development of credit risk models across both commercial and corporate portfolios. The role will report into the Head of Analytics in the NY office and will also have interaction with the CRO and so there will be ample exposure to senior management.
The role will lead efforts to build Basel II compliant scorecards for measuring obligor risk as well as engaging with credit approval and underwriting organisations to drive forward proposed modelling approaches. The role will be responsible for the model development process across all stages including data collection, model build, model validation, testing and calibration. This will allow a huge amount of exposure an enable any candidate to massively expand their skills set.
The role will also liaise closely with the related quant functions such as: Stress testing, capital adequacy analytics, portfolio analytics.
Key Requirements
• PhD in Economics, Statistics, Maths or another highly quantitative subject
• Direct experience with Commercial loans
• 5-10yrs hand on statistical work (modelling)
• Excellent Basel II knowledge
• Proven managerial experience
• Experience working with Credit Risk Models (PG - LGD)
• Experience using statistical packages such as SAS, R, or MATLAB
• Willing to relocate to New York OR Washington D.C
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