Head of Credit Exposure Modelling recruitment
The team is mainly involved in modelling the various parameters used to quantify counterparty-related credit risk in the following main areas:
- PD ("probability of default"): the probability of a certain kind of counterparty defaulting;
- LGD ("loss given default"): the expected loss on an exposure if the counterparty defaults;
- EAD ("Exposure at Default"): expected outstandings at time of default.
These models and the resulting output can be used in:
- internal ratings systems;
- regulatory and economic capital calculations;
- credit product valuations;
- estimations of future credit losses, provisioning,…
Duties:
Your team management duties will consist of:
- enhancing the pd/lgd/ead models and handling new requests, mainly quantitative, on these models or in related areas; to this end, your acquired experience in quantitative matters, practical market analysis and university research will be most useful;
- preparing the data required for the modelling process (data pre-processing);
- monitoring the transposition of these models into operational, easy-to-use tools: contributing to IT implementation projects;
- drafting quality documentation;
- explaining and justifying models and tools to management, colleagues and the internal and external supervisory bodies (validation, NBB, …);
- contributing to the annual model-backtesting process, drawing the correct conclusions, documenting them and backing them up;
- determining the sensitivity of the models in specific situations.
Profile:
- Master’s in (Applied) Economics or a quantitative analysis-orientated degree (statistics, maths, physics, engineering, …);
- +5 years’ experience in risk management and model development, preferably in PD-LGD-CCF modelling;
- Computing skills: Matlab and SQL or equivalent;
- Knowledge of SAS, SQL Server db, Visual Basic, Java or any other object-oriented programming language is a plus;
- Good mixer, team-spirited, cascades information;
- Capable of quickly assimilating complex technical ideas. Self-starter, creative, innovatory;
- Management skills: leadership, sees the big picture, team motivator, easily handles the numerous external relations (business, IT, validation, regulators, …), identifies priorities.
June 27, 2012
• Tags: Head of Credit Exposure Modelling recruitment, Risk Management careers in the Belgium • Posted in: Financial