Director – Operational Risk Analytics – Tier 1 Investment Bank – New York & Virginia, USA
JOB DESCRIPTION Lead the operational risk modeling team’s development of Basel II compliant Loss Distribution Approach (LDA) models and serve as a serve as a subject matter expert in development of statistical models and distributions to support other areas of economic capital modeling. This effort includes assessing the quality of internal data, incorporation of external data where appropriate, development of loss frequency and severity distributions, and monte carlo simulation to estimate capital requirements for operational risk. This individual will also be called on to establish rigorous Read more […]
Basel II Modeling Manager – Tier 1 Investment Bank – New York & Virginia, USA
JOB DESCRIPTION – Build Basel-II compliant scorecards and models for measuring obligor and facility risk – Engage with Credit Approval and Underwriting organizations to understand loan and deal structures, facilitate discussion and drive agreement on proposed modeling approaches – Take ownership of the model development process; lead all stages of model development from data collection, model building, model validation, testing and calibration – Develop comprehensive model documentation that stands up to Capital One and regulatory standards – Contribute to the development of a robust credit data Read more […]
Basel II Modeling Senior Manager – Tier 1 Investment Bank – New York & Virginia, USA
JOB DESCRIPTION Our Client is searching for an experienced statistical leader to become the team lead for Retail Model Validation for Basel II models relating to Pillar I and Pillar II capital requirements. The role will be part of the Scoring Office (within Risk Management), which is responsible for the governance of all models and predictions across the enterprise.Responsibilities:• Lead a team in charge of directly validating all Basel-related models for all Retail portfolios• Ensure defendability of modeling results by providing effective challenge and independent review• Directly contribute Read more […]