VP, Model Risk & Validation – Commercial Credit Risk – New York, USA
JOB DESCRIPTION
We are working with a large financial institution’s model risk and validation team, and we are looking for an experienced credit risk model validator to join the group. The team covers consumer and commercial credit risk as well as Basel/Economic Capital, allowing for more exposure to different kinds of models.
The quant team is filled with highly intellectual and technical individuals who value personal contributions in thought leadership and technical ability. It is a very collaborative and collegial environment that works closely with the various businesses, allowing for greater exposure and movement.
Location: New York, USA
Responsibilities:
- Review and validate commercial credit risk models (PD/LGD/EAD) and also non-traditional models (nonlinear regressions, optimization, etc)
- Enhance and improve existing model risk and validation processes
- Advise on model validation methodologies industry best practices for lines of businesses
- Perform full regression analysis, benchmarking, model assumption checks, and model reverse engineering.
Requirements:
- Min MS/ PhD in a quant discipline (Statistics, Econometrics, Mathematics, etc)
- Minimum 5-7 years industry experience in quant model validation or model risk; model development experience a plus
- Working experience with financial models: credit risk, pricing, prepayment, goodwill, tax, etc
- Excellent communication and interpersonal skills
- Proficiency with SAS, SQL, Matlab
In Return:
- A huge opportunity to attain progression within a leading quantitative 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: quantitative risk, risk models, model validation, model risk, credit risk, commercial credit, linear regression, optimization models, model usage, metrics, model benchmarking, revalidation, Basel 2, PD, PGD, EAD SAS, SQL, New York, USA
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
Search Consultant: James Friend
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: 6.00-21.00 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
We operate globally and leverage our extensive relationships to unite the most talented people with the most intellectually and financially rewarding career opportunities throughout Europe, the United States, Asia and the Middle East.
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