Sr. Director of Economic Capital/Quantitative Analytics recruitment

Our client is seeking a highly experienced financial service leader (Managing Director/Sr. Director) with a strong background in risk analytics and economic capital to lead quantitative modeling and implementation of credit risk economic capital across global business lines.  The incumbent will be responsible for building and managing a team tasked with delivering on internal business needs for economic capital.  These needs include fully meeting regulatory requirements and delivering business value through robust models that are well integrated within the firm's decision making metrics.

This incumbent will further maintain responsibility for leading implementation of next generation credit risk economic capital models, communicating economic capital changes to senior management and staff across the lines of business and defining a research program regarding modeling economic capital, especially for credit cards and auto loans. 

Specific Responsibilities include, but are not limited to:

* Lead Implementation of next generation credit risk economic capital models, including oversight of IT implementation program, selection of modeling approach, and integration with existing upstream and downstream processes
* Develop economic capital reporting capabilities that will enable timely communication
* Support business partners in integration of economic capital updates into economic capital tools and metrics, including pricing applications, capital forecasting tools, risk management reports, and risk adjusted return metrics
* Interface with the regulators, model validation, and internal model governance teams to facilitate understanding of our economic capital modeling and to effectively take-away feedback
* Communicate results with business partners to support education regarding risk trends as well as to obtain feedback based on business intuition around results.  Develop effective communication pathways to develop and maintain understanding around and credibility for the economic capital rates to enable effective use
* Collaborate with line of business risk partners to define requirements for risk parameter inputs and support development of enhanced processes or methodologies when appropriate
* Partner in the introduction and use of risk adjusted return metrics
* Define a research program to advance understanding of economic capital as applied to credit card and auto lending finance
 

Requirements include:

* Master's degree in quantitative finance, economics, engineering, statistics or another quantitative discipline with a Ph.D. in a similar discipline strongly preferred
* 7 years of financial services experience
* 5+ years experience in Basel II and economic capital
* 3 years of risk analytics experience
* Experience with credit economic capital modeling
* Working knowledge of monte carlo simulation techniques, risk parameter estimation, and statistical distribution fitting