Description
A top banking institution in Boston is seeking talented quantitative analysts to build its full suite of Basel-compliant, statistically-based dual risk rating models. Key constructions include Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD).The candidate is responsible for developing and executing all aspects of retail and wholesale credit risk parameter models, and for ensuring full compliance with regulatory and accounting requirements.
As a senior analyst, your findings must provide credible information to support strategic decisions. Candidates must confidently advise the bank's leadership on Basel IRB Regulatory Capital, appropriate levels of Economic Capital, appropriate reserves as in Allowance for Loan and Lease Losses (ALLL), and loan pricing levels that are commensurate with the risk inherent in transactions.
Responsibilities
- Develop a comprehensive risk rating framework and infrastructure, lead best practice modelling techniques, ensure comprehensive documentation, and establish models monitoring outcome analysis.
- Coordinate the development, maintenance and enhancement of econometric models for various R&D projects, such as macro-economic linkage models and stress testing methodologies.
- Perform technical analysis: write and run analysis software (SAS/SQL) code/programs, creating tables and charts, cleaning data, working with the business units to understand the data and review the work of more junior staff members.
- Demonstrate strong business judgment, communication, and analytical skill.
Qualifications
- 5+ years of progressive experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
- Masters degree in a quantitative discipline, such as Economics, Finance, and Statistics. Ph.D. preferred.
- General business knowledge and familiarity of commercial and retail banking products, operations and credit processes
- Skilled in credit risk modeling, particularly with respect to Basel II and accounting SFAS 5
- Strong analytical, econometrical and statistical skills
- Good organizational and communication (both verbal and written) skills
- Results-driven approach to your work.
Contact Matthew Gallira with Huxley Associates for more details.
To find out more about Huxley Associates please visit www.huxley.com