Manager – Statistical Analysis / Basel II Modeling recruitment

Responsibilities:

• Research, critically evaluate, and propose quantitative risk modeling methodologies for estimation of Economic Capital requirements for consumer loan products and accounts.

• Analyze internal and external data for portfolio segmentation and validation

• Develop and validate models of probability of default (PD), loss given default (LGD) and exposure at default (EAD) under the framework of Basel II and ICAAP

• Determine, develop and document data requirements and modeling assumptions, model results, and methodological alternatives considered.

• Collaborate with lines of business to ensure models are business-driven and empirically derived.

• Prepare ad-hoc analysis and reporting as requested

• Perform ongoing model testing and monitoring of credit EC results

• Respond to auditor and regulatory reviewers for analytical inquiries and defend analytical process and model results

Requirements:

• 5+ years credit risk modeling experience in retail banking or financial service industry

• Basel II and/or Economic Capital modeling experience

• Retail/Consumer banking experience: Specifically mortgages, auto finance, credit cards, corporate credit cards, personal loans, HUAC

• Strong communication skills

• Proficient in SAS / SQL

• Master’s/Ph.D. in finance, economics, statistics, operations research, or other quantitative disciplines

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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