SVP, Director – WHOLESALE Credit Risk, PD Modeling- Top-Tier Bank – New York, USA
JOB DESCRIPTION
We are working with a top-tier bank’s wholesale credit risk team, and we are looking for a highly quantitative risk analyst to join the group! The team is steadily growing, and you will be the senior risk quant of the group. Your main responsibility will be building PD models from scratch. This is a highly statistical role, thus requires you to model with SAS.
Location: New York, USA
Responsibilities:
- Developing and enhancing wholesale credit risk models (specifically PD, probability of default)
- Conducting econometric and statistical analysis of credit data
- Keeping abreast with latest research and white papers on credit risk parameters developing methods to calculate value of parameters that meet Basel 2 and other regulatory requirements
- Performing stess testing, backtesting, sensitivity analysis, scenario analysis, etc.
- Interacting with lines of businesses, senior management, auditors, and regulators to assist in the reporting and discussion of models, methodologies, improvements, etc.
Requirements:
· Strong academic background withPhD in a quant discipline
· Minimum 8 years industry experience in WHOLESALE credit risk model development
· Must have probability of default (PD) credit risk modeling experience
· Strong quantitative statistical skills
· Excellent communication skills (written verbal)
· Proficiency with statistical modeling software: SAS and VBA
In Return:
· A huge opportunity to attain progression within a leading quantitative risk management team
· Very analytical and quantitative exposure
· Career advancement and competitive compensation structure
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Key words: credit risk, wholesale credit, corporate credit, quantitative risk, risk models, model development, modeling, Basel, RWA, risk weighted assets, PD, probability of default, wholesale portfolios, corporate portfolios, statistical modeling, SAS, VBA, R, Matlab, New York
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
Search Consultant: Kasey Churchill
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
LOS ANGELES | 1.310.807.5030
10877 Wilshire Boulevard, Los Angeles, CA 90025 | Office Hours: 8.00-18.00 PDT
NEW YORK | 1.212.763.8333
1325 Sixth Avenue, New York, NY 10173 | Office Hours: 9.00-21.00 EDT
LONDON | 020.3207.9090
St Clements House, London, EC4N 7AE | Office Hours: 9.00-21.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
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