Sr. Quantitative Risk Modeler

Description

[POSITION SUMMARY] Sr. Quantitative Risk Modeler for a top international commercial bank in their model development credit risk team. This is a unique opportunity to work at an Advanced IRB accredited institution in driving industry-leading practices. As part of a team you will be responsible for developing, delivering, signing-off and supporting advanced, regulatory-compliant credit models, including, Probability of Default (PD) and Ratings, Loss Given Default (LGD), Exposure at Default (EAD). The models are to be used for Stress Testing (DFAST/CCAR) and Risk Ratings for C&I and CRE portfolios OR loss forecasting for Mortgage and Helocs portfolios. From a broader viewpoint the role function and its related responsibilities are key to support the banks management as well as the regulatory capital/provisions requirements. The model development resides on high standards using solid conceptual credit risk foundations. Extensive use of advanced statistical techniques is applied to detailed credit data sourced both internally and Company website will act as an expert resource in the fields of credit risk quantification and modeling, working closely with other stakeholders both internal and external such as business and risk areas, and regulatory authorities. [POSITION DUTIES] Driving innovation in analytical tools and the application of analytics (new methods, processes, new uses of statistics),Executing analytics projects associated with the work described above and presenting the result of his or her analysis to senior management while operating in an international setting,Executing project deliverables (includes aligning non-analytical resources, developing project plans, etc.),Develop, enhance, implement, document and provide ongoing expert support for advanced credit risk models and methodologies, covering Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD).,Utilizing advanced statistical, financial and economic concepts to develop analysis that can be used by management in business decisions such as pricing, risk management and capital allocation to ensure business value is being delivered,Developing and documenting loss forecasting models for stress testing across a number of Commercial and Wholesale portfolios OR Mortgages and Helocs

Qualifications

[QUALIFICATION] Ph.D. or Master's degree in a quantitative field: Economics, Finance, Statistics, or a related discipline [SPECIALIZED KNOWLEDGE] 1-2 years experience with loss forecasting either commercial or retail portfolio (Familiarity with PD/LGD/EAD modelling and Demonstrating subject matter expertise with Credit Bureau/Moodys data is a plus),2-3 years experience with applied statistical techniques: linear and non-linear regression, time series forecasting, panel data analysis, optimization, data mining and survival analysis; hands-on experience in SAS, R, Matlab or similar software,Good written and oral communication skills. Ability to articulate complex theories, concepts, methodology and findings,OR 1-2 years experience with Scorecards and Economic Capital models for Mortgage and Home Equity portfolios,Self-motivated and with sense of urgency,Willingness to work in a team environment and to coordinate work efforts with others in international locations