Senior Quantitative Analyst - Qaunt Risk (PD/LGD/EAD))
Company
OCG - Obtain Consulting GroupLocation
New York City, NYCompensation
CompetitivePosition Type
PermanentEmployment type
Full timeUpdated
Feb 17, 2013eFC Ref no
1169081
At the VP level of one of the largest
financial institutions, you will be expected to develop the quantitative
models to measure probability of default (PD) and loss given default
(LGD) for the bank's counterparties and credit exposures.
Overview
As a member of the premier Enterprise Risk Management team in Boston, Quantitative Analysts will provide the development and documentation of tools and methods for assessing various aspects of credit risk to the bank
Your analyses will drive the bank’s capital strategy and inform its application of the advanced internal ratings-based (AIRB) approach to risk measurement under Basel II. The capital estimates and associated AIRB inputs support a variety of management objectives including developing regulatory reports, improving risk management, enhancing risk reporting, and allocating capital to business units.
Responsibilities
Requirements
To learn more about this opportunity please send a resume to mandates@obtainconsulting.com or contact Layla on +44 203 290 1767 for more information
As a member of the premier Enterprise Risk Management team in Boston, Quantitative Analysts will provide the development and documentation of tools and methods for assessing various aspects of credit risk to the bank
Your analyses will drive the bank’s capital strategy and inform its application of the advanced internal ratings-based (AIRB) approach to risk measurement under Basel II. The capital estimates and associated AIRB inputs support a variety of management objectives including developing regulatory reports, improving risk management, enhancing risk reporting, and allocating capital to business units.
Responsibilities
- Critically review U.S. Basel II and related regulations and developing methods to estimate the value of the credit parameters that meet regulatory requirement
- As required, review non-U.S. banking regulations, and adjust the value of credit parameters or create an alternative set of credit parameters that meet non-U.S. regulatory requirements
- Perform backtesting, sensitivity testing, and stress testing of credit parameters
- Provide support for development and documentation of other credit parameter inputs used in our AIRB system
Requirements
- Excellent Quantitative academic qualifications (PhD preferred)
- Wholesale risk modelling experience is preferred.
- Excellent programming skills (SAS, MATLAB, C++)
- In-depth understanding of multivariate statistics
- Experience modeling credit risk for financial institutions
- 3-8yrs experience within a related function (Wholesale Risk modelling, Quantitative Analytics)
- Willing to relocate to Boston
To learn more about this opportunity please send a resume to mandates@obtainconsulting.com or contact Layla on +44 203 290 1767 for more information
No comments:
Post a Comment