Risk Manager, Credit Risk
JOB DESCRIPTION
We are working with a large commercial bank’s credit risk team, and we are looking for a highly quantitative risk manager to join the group. This is a brand new team that we are trying to build out as a response to the CCAR regulations. This is a highly statistical role, thus requires you to model with SAS and SQL.
Location: New York State, USA
Responsibilities:
- Build and manage stress testing models for CCAR. Responsible for entire lifecycle of collecting data, building and implementing models, and performance tracking.
- Act as project lead and subject matter expert relating to model development
- Check the conceptual soundness of the models, assess data quality and integrity as well as model assumptions, and perform stress testing
- Interact with sr management and regulators to present stress testing results and reports
- Manage a new team of 3-4 stress test analysts/ modelers
Requirements:
· Strong academic background with PhD in a quant discipline (Statistics, Econometrics, Mathematics, etc)
· Minimum 6-10 years industry experience in commercial and/or retail credit risk model development
· Must have CCAR, Basel II, and stress testing experience
· Experience in team/ people management (setting goals, performance reviews, and mentoring junior staff)
· Strong quantitative statistical skills (time series analysis, logistic/ linear regression, ARIMA modeling, cash flow modeling)
· Excellent communication skills (written verbal)
· Proficiency with statistical modeling software: SAS and VBA
In Return:
· A huge opportunity to attain progression within a leading quantitative risk management team
· Very analytical and quantitative exposure
· Career advancement and competitive compensation structure
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Key words: credit risk, commercial credit, retail credit risk, CCAR, stress test, stress testing, quantitative risk, risk models, model development, modeling, Basel, RWA, risk weighted assets, PD, probability of default, statistical modeling, SAS, SQL, Matlab, New York
APPLY | risk.americas@gqgrgm.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: 8.00-18.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 020.3207.9090
St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
HONG KONG | 852.3678.6738
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
GQR Global Quant, GQR Global Trading, GQR Global Markets
We operate globally and leverage our extensive relationships to unite the most talented people with the most intellectually and financially rewarding career opportunities throughout Europe, the United States, Asia and the Middle East.
We are committed to protecting and respecting your privacy. Information on our privacy policy, together with our terms of business are available at www.g-q-r.com.
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