Validating Basel II related and/or quantitative models in the area of Retail Credit Risk (aka Consumer Credit Risk). recruitment
This includes assessing model risk by reviewing model assumptions, verifying the mathematical formulation, conducting business analyses, and developing similar models to perform statistical testing, and writing validation reports.
Job description:
- Interacting with model developers, risk managers, other staff members, and internal, external, and government auditors.
- Validations are done in 2 steps:
- Interim (or Level 1) validations involve assessing the adequacy of model documentation, conducting minimum statistical testing and re-deriving any formulae, and opining on whether this model seems plausible.
- Full (or Level 2) validations involve using the documentation as model specification, building your own replica of the model, checking that the implementation was done properly, and conducting full-range model testing including stability and sensitivity analyses, back-testing the model and/or benchmarking with other models or model estimates.
The successful applicant will gain a wide exposure to a variety of different products and models across the firm and be provided the opportunity to work in an intellectually stimulating environment.
Qualifications:
- PhD in a quantitative field such as Applied Statistics, Financial Economics, Mathematics, Physics or Engineering.
- Excellent statistical background and good understanding of retail credit risk (residential mortgages, credit cards, auto loans, etc) in the context of Basel II. Prior model building experience in retail business or consumer banking is a plus.
- Strong programming skills in SAS, S-PLUS or R, and the ability to work on large databases and to transform technical research into working models.
- Team work and commitment, strong communication skills and hard working are a must. Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable.
May 1, 2009
• Tags: or quantitative models in the area of Retail Credit Risk (aka Consumer Credit Risk). recruitment, Risk Management careers in the USA, Validating Basel II related and • Posted in: Financial