Director (PhD) Statistical Modeler- (PD, LGD)/Commercial Loans – NY recruitment
The role is to build, document and support Basel II, PD, LGD models. Candidate must have deep experience with integrating Basel II models and have knowledge of credit and market risk software [KMV, RiskCalc, CMM, CreditEdge, COMPASS]. A PhD degree in a quantitative field [econometrics, Statistics or Math ] and 5+ years of relevant experience in using regression models that measure loss given default (LGD) and loss frequency for a wholesale corporate, industrial and commercial real estate loan portfolio. The Candidate must also have implemented large credit risk models and will need solid SAS programming skills. Current hands on experience modeling in SAS is a requirement. Candidate must also be able to speak with authority about commercial (wholesale) lending.
Keyword: Basel II, Risk Ratings, Scorecards, SAS, PD, LGD, Commercial Loans, Risk Rating Models, Regression, Matlab, R
Refer to Job# 19258-EFC and email MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com or register online at www.analyticrecruiting.com choosing Jim as your contact recruiter.