VP, Retail Credit Risk Modeler – Top-Tier Bank – New York, USA
JOB DESCRIPTION
Our client is well known for their quantitative talent, collegial culture, and low turnover. In the past couple year, the bank has been growing, especially within Risk Management, and is looking to continue the streak.
As the credit risk modeler, you are responsible for developing retail credit risk models from scratch. Because of the rise of risk control regulations, you will be expected to keep abreast with regulations as well as review models to verify that they are within compliance.
Location: New York, USA
The role:
- Developing, enhancing, and backtesting retail credit risk models (PD/LGD/EAD, loss forecasting, loss severity, etc)
- Performing stress testing on models in compliance with CCAR
- Conducting econometric and statistical analysis of credit data
- Keeping abreast with latest research and white papers on credit risk parameters developing methods to calculate value of parameters that meet Basel 2 and other regulatory requirements
- Performing sensitivity analysis, scenario analysis, etc.
- Interacting with lines of businesses, senior management, auditors, and regulators to assist in the reporting and discussion of models, methodologies, improvements, etc.
Requirements:
- Strong academic background with MS/ PhD (mathematics, statistics, econometrics, computer science, etc)
- Minimum 4-7 years industry experience in retail credit risk model development
- Must have solid understanding of retail credit
- Working experience with Basel II and PD/LGD/EAD models
- Strong quantitative skills (stochastic calculus, linear and logistic regression, Monte Carlo simluations, tec)
- Excellent communication skills
- Proficiency with statistical modeling software: R, SAS, VBA; object oriented languages a plus! (C++, Java)
In Return:
- A huge opportunity to attain progression within a leading quantitative risk management 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: credit risk, retail credit, quantitative risk, risk models, model validation, Basel, RWA, risk weighted assets, PD, probability of default, LGD, loss given default, EAD, exposure at default, retail portfolios, regulatory risk, statistical modeling, R, SAS, VBA, Matlab, New York
APPLY |risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
Search Consultant: Kasey Churchill
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.
We are committed to protecting and respecting your privacy. Information on our privacy policy, together with our terms of business are available at www.g-q-r.com.
Leave a Reply
You must be logged in to post a comment.