VP Level

VP Level - Quantitative Risk Modelling (Market, Credit Operational Risk - AMA Framework) | Leading US Based Investment Bank | USA

Location - Boston, USA

Salary - 120k - 160k + Benefits Bonus

Brief Description

The role will report directly into the Head of Financial Statistical Modelling and will be responsible for the mentoring and supervision of junior analysts within the group.

The roles main responsibilities will include developing, documenting, and maintaining the following models: operational risk economic and regulatory capital model; market risk economic capital model; and business risk economic capital model. Also using value-at-risk (VaR) and stress testing methodologies to quantify potential losses in different risk areas.

The role will have managerial responsibilities and so as the group grows so will this aspect of the role. The position will also have excellent exposure to both senior management and key stakeholders within the group and will be responsible to liaising with multiple counterparts of the firm.

Key Requirements

• PhD or MSc in a quantitative field (Economics, Statistics, Mathematics, Physics, Operations Research)
• 3+ years working within the Financial services industry in a related function
• In-depth understanding of multivariate statistics; knowledge of extreme value theory and modeling fat tails a plus
• Prior knowledge of Operational Risk - AMA framework - LDA is a massive bonus.
• Strong knowledge of US Basel requirements
• Hands on experience of SAS, R, Matlab or related programming software
• Proven experience working within an risk modelling group
• Strong communication and presentational skills

If this opportunity is of interest please apply now and a consultant will be in touch.

December 11, 2012 • Posted in: General

Leave a Reply

You must be logged in to post a comment.