Sr. Risk Analyst – Economic Capital, Credit Risk – Leading Asset Management Firm
JOB DESCRIPTION
Our client’s capital management team is growing! The main purpose of the team is to manage the credit and counterparty risk related to traded products. You will be responsible for the design, development, and maintenance of capital models. You will also lead the support for monitoring and calibrating economic capital models.
All members have a quantitative background in order to successfully thrive in this evolving team. This role sits within the Credit Risk Analytics team and also interacts with various lines of business within the firm on a global scale. Advantageously, this team is well-known for their low-turnover, collegial environment, and rigorously quantitative culture.
Location: New York City, NY
Responsibilities:
- Develop, manage, and continually improve the economic capital framework.
- Support in model implementation, performance monitoring, and calibration.
- Acquire and demonstrate strong knowledge of portfolio models.
- Compile and document modeling and analytical results in a presentable manner
- Collaborate with the firm’s internal research team and contributing to quantitative analytic projects (VaR, loss distributions, economic capital, risk management).
Requirements:
- Minimum Masters degree (MS/MBA) in a quantitative discipline (Mathematics, Statistics, Computer Science)
- Min 4+ years in an economic capital/ credit risk modeling team
- Min 4+ years of professional experience using Moody’s Analytics Risk Frontier
- Strong knowledge of Basel II/III regulations and framework
- Computer skills: SAS, Matlab, SQL, R; experience with credit portfolio models/programs (Risk Frontier, Creditmetrics)
- Excellent communication skills (written, verbal, presentation)
Keywords: risk manager, risk analytics, portfolio analytics, portfolio risk, economic capital, Moody’s Risk Frontier, RiskFrontier, credit risk, quantitative risk, quant risk, risk quant, risk management, quantitative risk management, Basel, CCAR, SAS, R, SQL, New York, USA
Although preferable, we do not require a CV, please feel free to get in touch regarding this role to talk to a member of the team to discuss this role. For more current openings with our clients, please see www.g-q-r.com/vacancies
We Welcome speculative and tentative applications roles and others of a similar nature that we may have available on our books.
Applying: risk.americas@gqrgm.com
Search Consultant: Kasey Churchill –please mention job title
Contact Telephone Number: 310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.G-Q-R.com
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