The credit risk analyst is responsible for validating retail credit risk models. Because of the rise of risk control regulations, the risk analyst is expected to keep abreast with regulations as well as review models to verify that they are within compliance.
Location: New York, USA
- Validating credit risk models, performing scenario analysis, and stress testing
- Reviewing PD/LGD/EAD models and checking for compliance with Basel regulations
- Performing due diligence of credit risk models using analytic methods
- Developing and prototyping statistical models
- Communicating with senior management and presenting risk models and reports to regulators
- Strong academic background with an MSc or PhD (preferred) from a reputable quant school
- Minimum 1-4 years industry experience in retail credit risk model validation
- Must have solid understanding of retail credit
- Working experience with Basel II and PD/LGD/EAD models preferred
- Excellent communication skills
- Proficiency with statistical modeling software: R, SAS, VBA, Matlab
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
- A huge opportunity to attain progression within a leading quantitative risk management team
- Very analytical and quantitative exposure
- Career advancement and competitive compensation structure
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 | email@example.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: 310-807-5030
Linked In: http://www.linkedin.com/e/vgh/1615777
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.
- 2 years ago - save job