Quantitative Credit Risk Analyst
This person will be responsible for developing, validating and implementing counterparty PD, EAD, LGD Models across portfolio of the Bank and for implementing effective credit risk management within Bank Leumi USa which includes among other things:
- Defining credit risk data base to support the models needs and perform multi dimensions analysis and risk reporting
- Implementing internal ratings and credit risk parameters based on them within credit policy, pricing tools and policy, capital planning, forward looking scenarios and stress testing.
- Adjusting credit risk mangement tools built in Bank Leumi's needs.
Responsibilities:
-Intitial ongoing validation of internally and externally developed models
-Ensuring theat validation methodologies and standards are aligned with the latest Basel II requirements.
-Responsible for the credit rating system based on IRB methodology
- Define credit risk data warehouse (denoted by DWH) to answer the current and future needs of the bank.
- Define managerial reports based on DWH and analyze them
- Adjust effective risk management tools and procedures in the Bank
Education:
First and second degree in statistics, with at least 2 years experience in a Model Development or Model Validation enviornment.
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