Senior Quantitative Analyst, Credit Risk
This position will report into the VP of Portfolio Analytics and Forecasting for their consumer portfolio. The primary focus of this position will be on the development, selection and implementation of quantitative PD/LGD and Macro Economic models related to credit risk. Position emphasis will be on evaluating existing in house default and migration data and integrating external data relevant to the banks consumer risk portfolio. This position will also participate in the identification and development of stress scenarios.
Duties Responsibilities
Quantitative Risk Modeling:
· Support implementation and validation of forecast models driven by PD, LGD, EAD and rating migrations, including, but not limited to Monte Carlo simulation models.
· Recalibrate forecast model parameter estimates based on actual losses, default and delinquent migration analysis.
· Perform regression analysis on loan level characteristics and economic data to evaluate the explanatory power of the predictions, migrations, and defaults for different parts of the commercial portfolio.
· Analyze historical data on relevant external market data for CI, Real Estate, SME and retail portfolios to get an understanding of their distribution to support loss forecast model calibration.
· Validation, stress testing and documentation of loss forecast models and assumptions.
· Collaborate with and assist other quantitative modelers in the group in their modeling work.
General Risk Management Improvements:
· Keep abreast of industry best practice standards for credit risk measurement.
· Assist in benchmarking portfolio characteristics to other institutions.
· Leverage analytic capabilities in overall decision making and risk identification.
· Reach across departments and functions of the Bank in order to complete assignments on time, and review with senior management.
· Support ad-hoc Line of Business requests for quantitative modeling of potential new businesses, and impact of improved underwriting and credit monitoring services.
Qualifications
· Advanced degree in statistics/finance preferred.
· Minimum five years experience in applying and managing use of statistical risk models - such as Credit Metrics, Credit Risk+, or Portfolio Manager.
· Demonstrated experience in credit risk modeling and analytics.
· Minimum 5 years experience in a cross-functional environment working with portfolio management concepts and constructing and explaining risk models.
· Minimum 5 years database experience SAS preferred, understanding of SQL, Business Objects, Hyperion, SQL Server and General Microsoft products.
Focus Risk Recruiting is also working on several other risk management and quantitative finance positions. Please click on APPLY ONLINE below and submit your resume. For more information, visit us online at www.focusriskrecruiting.com.
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