Senior Credit Risk Quantitative Analyst (Vice President)
Primary responsibilities include:
• Provide analytic support for the Basel II implementation of the Internal Models Method (IMM)
• Development and implementation of analytical and regulatory disclosures related to the IMM approach
• Implement credit exposure stress testing methodologies and provide in-depth analyses of stress test results.
• Develop new approaches for back testing exposure models and provide detailed analysis of the back-test results.
• Work directly with credit officers to evaluate proposed trades and reach agreement on their credit risk intensity.
• Evaluate counterparty exposure of proposed derivative trades that are too complex to be covered by the firm’s existing exposure models. In this capacity, analyst will work closely with credit officers and with traders as the deal is structured. • Develop prototype models to calculate exposure of new or exotic products.
• Perform analysis of counterparty exposures to ascertain the accuracy of the exposures for limit monitoring purposes.
Skills Required:
• Advanced degree or equivalent (such as an MSc or PhD) in a quantitative discipline, e.g., economics, mathematics, or finance with a quantitative undergraduate background.
• Extensive work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm.
• Actual experience with Basel 2 IMM approach in calculating regulatory capital.
Skills Desired:
• Hands on experience with counterparty exposure modeling and experience with Monte Carlo simulation and numerical analysis (e.g., numerical integration, optimization techniques)
• Facility with programming languages (preferably C).
• Facility with mathematical analysis packages (e.g., MATLAB) is desirable but is not essential.