Quantitative Analytics Manager recruitment
The successful candidate will be responsible for developing methods for calculating robust and practical measures of Through the Cycle Expected Loss for Wholesale and International potfolios.
Key Responsibilities;
- Play a key role in the development of Through the Cycle Expected Loss (TtC EL) metrics across Wholesale International banking operations, supporting the measurement of portfolio credit risk on a ‘cycle-neutral’ basis
- Establish developments required beyond today’s model landscape, comprising existing and planned PD models, and the LGD model framework currently in development
- Understand the balance between model sophistication, transparency and robustness, and be able to reliably develop methodologies which are appropriate for the quality and volume of calibration data available
- Understand the requirements of stakeholders and the nature of the application for which the metric is intended, and reflect these considerations in the design, documentation and governance of the chosen approach
- Bring to bear a solid working knowledge of ‘Pillar 1’ Basel credit risk models (PD/LGD/EAD), and an understanding of how the models and their outputs are affected by developments in the external economic environment (‘model cyclicality’)
- Make efficient use of available portfolio performance data, internal and external to LBG, in order to develop and calibrate TtC EL metrics
- Assist with the production of project documentation, as required
- Engage with key stakeholders, Credit Risk Modelling teams (especially LGD framework development team), Group IT and other related programmes
• Good communication skills with the ability to adapt style, language and content to suit a range of audiences, particularly in communicating complex issues to non-technical colleagues
For more information, or to apply for the role, please contact Luke Welham at luke.welham@jcwresourcing.com or call 0203 589 9294.
May 20, 2012
• Tags: Quantitative Analytics Manager recruitment, Risk Management careers in the UK • Posted in: Financial