VP Quantitative Credit Risk Modeling recruitment
Responsibilities:
• Develop internal credit rating models to quantify various aspects of credit risk
• Creation of models to benchmark Counterparty Credit Risk across both lending and trading portfolios and ensure consistency among ratings throughout the firm.
• Quantify various aspects of credit risk, such as probability of default (PD), loss given default, ( LGD ), and Exposures
• Work closely with other members of the Internal Rating Models Group, Credit Research, and Market Risk
• Lead project-specific working groups
Requirements:
• 7+ years quantitative modeling experience within Credit Risk
• Strong knowledge of counterparty credit rating models
• Preferred experience across both Capital Markets and Consumer Lending Credit Risk Modeling
• In depth knowledge of the credit risk process
• Development of Models in Matlab , C, C#, SQL, etc
• Excellent written and verbal communication skills
• Quantitative Masters/PhD
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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