Description
VP Quantitative Analyst - Credit RiskAs 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. At the VP level of one of the largest financial institutions in the world, analysts are 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. The PD and LGD values are collectively referred to as credit parameters.
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.
Responsibilites:
- Manage large and complex credit data sets using statistical tools and database technologies
- Conduct econometric and statistical analysis of credit data
- Develop statistical models to quantify the value of the credit parameters
- Review external studies of the value of various credit parameters and using those studies to inform the appropriate value of the parameters for the firm
- Critically review U.S. Basel II and related regulations and developing methods to estimate the value of the credit parameters that meet regulatory requirements
- 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
- Utilize external market data, e.g. credit spreads, to refine and inform the value of credit parameters for different types of counterparties and exposures
- Work with credit professionals to gain an understanding of credit markets and to reflect that understanding in the models and methods used to set the value of the credit parameters
- Write technical documentation
- Provide support for development and documentation of other credit parameter inputs used in our AIRB system
- Present results of work to senior management
- Work with the information technology group to document business requirements and to ensure methodologies are accurately implemented in production systems
- Complete ad hoc assignments in the general areas of credit risk management and measurement
Qualifications
- Advanced degree in finance, economics, statistics, or a related field and 2 to 5 years of relevant work experience (relevant PhD degree can substitute for some or all of the work experience)
- In-depth understanding of multivariate statistics
- Experience modeling credit risk for financial institutions
- Knowledge of a statistical or analytical modeling language such as SAS, Matlab, Stata, or S+
- Experience working with large and complex data sets
- Strong written and verbal communication skills
- Good project management skills and a demonstrated ability to work independently on complex projects
- Knowledge of banking regulations, with particular emphasis on credit-related issues and credit modeling methodologies is desirable
Please contact Matthew Gallira at Huxley Associates for further details.
To find out more about Huxley Associates please visit www.huxley.com