VP Quantitative Credit Risk Model Development
Responsibilities:
- Develop and document credit rating models that quantify various aspects of credit risk such as credit ratings, PD (probability of default), LGD (loss given default), EAD (exposure at default), etc.
- Ensure Basel IRB compliance of these models
- Provide support to internal review and external regulatory exams
- Interact and collaborate with credit professionals on a regular basis
Requirements:
- 5+ years’ experience credit risk model development within a commercial bank, investment bank, or consulting firm
- Experience in building credit risk models, or risk rating template
- Familiarity with Basel capital rules
- Programming skill in a high-level language such as Matlab, R or SAS required
- Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com
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