Manager / Associate – Loss Forecasting and Basel II Model Validation recruitment
Responsibilities:
• Support the validation of loss forecasting and Basel-related models used to measure risk of a wide arrange of financial assets
• Review and assess the methodologies for calculating regulatory and economic capital.
• Employ advanced statistical, financial and economic concepts in the analysis of large data sets used within the referred model
• Produce key management reporting and commentary for use in business decisions such as pricing, risk mitigation and capital allocations
• Proactively identify the tasks required within the model validation team to improve overall processes and deliver meaningful information to management
Requirements:
• 2+years forecasting or pricing models experience for credit-sensitive assets (mortgages, auto loans, credit cards, commercial lending)
• Strong experience with economic forecasting, PD/LGD estimation techniques or economic capital calculations
• Understanding of applied statistical techniques: linear and non-linear regression, time series forecasting, panel data analysis, optimization, data mining or survival analysis
• Experience in SAS, R, Matlab or similar software.
• Strong communication skills
• Master’s / Ph.D. degree in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com
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