Senior Quantitative Analyst-Team Leader recruitment
The Senior Quantitative Analyst has responsibility for developing, delivering, validating, signing-off and supporting advanced, Basel-compliant credit models, including, Probability of Default (PD) and Ratings, Loss Given Default (LGD), Exposure to Default (EAD) and Risk-Adjusted Return on Equity (RAROE). These models are developed using strong conceptual credit risk foundations and wherever possible, they utilise advanced statistical techniques applied to detailed credit data sourced both internally and externally.
Providing the businesses with transaction advice and support, acting as an expert resource in the fields of risk quantification and modelling, and working closely with other stakeholders.
Requirements
• Develop, validate, enhance, implement, document and provide ongoing expert support for advanced credit risk models and methodologies.
• Manage a small team of quantitative analysts as Team Leader to deliver a subset of the overall credit models and methodologies used by the bank.
• Work with the Team’s Managers, the Head of the team and other Team Leaders to jointly deliver all required deliverables to a high standard
• Contribute to the overall development and implementation of advances in credit risk methodology generally and specifically related to point-in-time and through-the-cycle PDs and ratings and stress testing.
• Provide the businesses with transaction advice and support, acting as an expert resource in the fields of risk quantification and modelling, and working closely with other stakeholders.
• Work with the dedicated credit risk systems implementation team to support the roll-out of tactical and strategic implementations of the various credit models and methodologies.
Responsibilities
- Advanced credit model developments and validations delivered on time and written in detailed model documentation papers
- Accurate, detailed, clear and high quality model build documentation
- Contribute to the team’s overall development and evolution of credit risk modelling expertise
- Contribute to model and methodology-related presentations to credit officers and model users and as well to detailed model business requirements
- Contribute to overall team’s deliverables and project management
• Application of methodology to internal and external data sets for model development and validations.
• Management as a Team Leader of a small team
Essential Skills:
Strong skills in initiating, developing and supporting sophisticated risk models and methodologies.
Good working knowledge of Basel II concepts and broad understanding of BIPRU regulatory requirements
Strong time management skills.
Team player, prepared to work close to deadlines.
Strong skills in written model documentation.
Desirable Experience:
Some familiarity with point-in-time (PIT) and through-the-cycle (TTC) PD and rating
approaches
Reasonable familiarity with key industry default and loss data from rating Agencies and other vendors
Essential Qualifications:
Advanced Masters degree or PHD at a minimum in economics, finance, statistics or other related field
Some experience managing other quantitative analysts delivering credit models
Essential Technical Competence:
Advanced Microsoft Excel skills
Technology skills encompassing spreadsheet and database work.
Good working knowledge of advanced statistical packages such as SAS, or TSP