VP Quantitative Credit Risk
Responsibilities:
- Provide independent review and validation of internal rating scorecard methodologies for both PD and LGD ratings. This requires thorough statistical analysis of the underlying data, such as regression and discriminant analyses, and understanding of the various risk factors that impact the credit quality of an obligor. This also requires the analyst to develop credit model performance monitoring and validation techniques.
- Review of the parameters used to calculate credit risk. This involves statistical analysis of the data used to calculate probabilities of default (PD) and loss given default (LGD) that are assigned to each obligor or facility.
- Independent review of the exposure calculations that are used in to monitor limits and estimate regulatory capital. This requires knowledge of the valuation methodologies for the various bank products, e.g., OTC derivatives and loans, and the models used to simulate the market factors underlying these products. This also requires familiarity with various back testing and validation tools and techniques.
- Write high-quality model review documentation that satisfies the firm’s internal model approval functions, audit requirements, and the Firm’s regulators (e.g., FRB, OCC, and FSA).
- Provide analytic support to the Credit Risk Management Department in terms of calculating exposures for exotic or complex portfolios, stress testing, and other statistical analyses.
Requirements:
- 7+ years’ experience in a quantitative research group at a commercial bank, investment bank, or consulting firm
- Advanced statistical skills especially in the area of hypothesis testing, regression and discriminant analyses
- Hands on experience with counterparty exposure modeling and experience with Monte Carlo simulation and numerical analysis (e.g., numerical integration, optimization techniques) are highly desirable
- 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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