Quantitative Analyst, MBS Credit Risk
- Building and enhancing prepayment and default models
- Testing, validating, and reviewing credit risk models
- Performing scenario, sensitivity, and other analysis
- Implementing model updates to integrate smoothly with existing processes
- Communicating with senior management and presenting risk models and reports to regulators
- Min MS/PhD in a quant discipline
- Minimum 4-7 years industry experience in residential MBS (RMBS) modeling
- Strong quantitative/statistical skills
- Excellent communication skills
- Proficiency with statistical modeling software: R, SAS, VBA, Matlab
- A huge opportunity to attain progression within a leading quantitative risk management team
- Very analytical and quantitative exposure
- Career advancement and competitive compensation structure
Key words: credit risk, MBS, RMBS, residential, mortgage-backed securities, quantitative risk, risk models, model validation, Basel, RWA, risk weighted assets, PD, probability of default, LGD, loss given default, EAD, exposure at default, , regulatory risk, statistical modeling, R, SAS, VBA, Matlab, North Carolina
APPLY | risk.america@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
Search Consultant: James Friend
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 6.00-21.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
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St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
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2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
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