VP – Wholesale Credit Risk Model Validation – Top-tier Bank
JOB DESCRIPTION
As a Vice President in the wholesale credit risk model validation team, you will be an individual contributor in the efforts of developing and maintaining stress testing methodologies, validating risk rating models for the wholesale and retail portfolios, and manage the compliance to Basel advanced IRB requirements and securitization framework. You will also be expected to manage the data used in statistical analysis of PD/LGD/EAD modeling and be the point of contact for regulatory interactions. As a part of the model validation responsibility, you will be ensuring compliance and assistance in developing tools as well as prototype models.
Location: New York, USA
Requirements:
- Strong academic background with an MSc or PhD from a reputable quant school
- Minimum 5-7 years industry experience in econometric or statistical credit risk model validation
- Experience in validating credit risk methodologies (specifically PD/LGD/EAD)
- Must have solid understanding of wholesale or commercial credit risk; preferred to also have retail credit risk
- Experience with development and maintenance of stress testing models.
- Excellent communication skills (written and verbal)
- Proficiency with statistical modeling software: Matlab, R, SAS
In Return:
- A huge opportunity to join and thrive in a leading quant team in a top banking institution
- Very analytical and quantitative exposure
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, Wholesale, Commercial, Quantitative Risk, Risk Management, Risk Modeling, Risk Methodologies, Stress Testing, PD, LGD, EAD, R, VBA, Matlab, New York, USA
APPLY | risk.americas@gqrgm.com
VISIT US | www.g-q-r.com/vacancies
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.
Search Consultant: James Friend
Contact Telephone Number: 310-807-8050
Linked In: http://www.linkedin.com/e/vgh/1615777
Website: www.gqrgm.com
LOS ANGELES | 1.310.807.5025
10877 Wilshire Boulevard, Los Angeles, CA 90024 | 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 | 0203.141.8000
Westminster Tower, London, SE1 7SP | Office Hours: 8.00-20.00 GMT
HONG KONG | 852.3678.6738
2 Exchange Square, 8 Connaught Place, Central | Office Hours: 9.00-21.00 HKT
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