Manager – Statistical Analysis / Basel II Modeling – Washington, DC 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
Ashton Lane Group® “A trusted advisor throughout your career”