Top Tier US Bank seeks Senior Credit Risk Methodology Quantitative Analyst – New York recruitment
The exciting opportunity will be specialising within the counterparty exposure management space. The successful candidate will have a unique chance to work with one of the world’s leading banks in a team which not only expanding but is outperforming its counterparts. The role is a senior position, allowing valuable managerial experience and a direct contact line to the Regional Head of Risk Modelling.
The Role
- Provide analytic support for the Basel II implementation of the Internal Models Method (IMM)
- Development and implementation of analytical and regulatory disclosures related to the IMM approach
- Implement credit exposure stress testing methodologies and provide in?depth analyses of stress test results.
- Develop new approaches for back testing exposure models and provide detailed analysis of the back?test results.
- Evaluate counterparty exposure of proposed derivative trades that are too complex to be covered by the firm’s existing exposure models. In this capacity, analyst will work closely with credit officers and with traders as the deal is structured.
- Work directly with credit officers to evaluate proposed trades and reach agreement on their credit risk intensity.
- Perform analysis of counterparty exposures to ascertain the accuracy of the exposures for limit monitoring purposes.
Ideal Candidate
- 4 to 6 years work experience in a quantitative research group at a commercial bank, investment bank, or consulting firm.
- Direct Experience with Basel II and IMM
- Strong Monte-Carlo simulation experience
- Excellent statistical/numerical knowledge
- Advanced degree – MSc or PhD.