Description
A leading investment bank is seeking a senior Quantitative Analyst for a Vice President position within its highly regarded Enterprise Risk Management team. The team will focus on building advanced IRB approaches to risk measurement under Basel II. Your work will improve risk management firm-wide, enhancing risk reporting, strategic capital allocation to business unites, and estimates of capital requirements to support a variety of risk management objectives.The position is focused on developing and documenting estimates of the probability of default (PD) and loss given default (LGD) for the firm's counterparties, and experience building such models will be one of the top selection criteria for this role.
Responsibilities
- Manage large and complex credit data sets, and conduct econometric and statistical analysis of the data using SAS, Matlab, Stata, or S+.
- Develop statistical models to quantify the value of credit parameters.
- Critically review U.S. and non-U.S. Basel II and related regulations and develop methods to meet those requirements.
- Perform backtesting, sensitivity testing, and stress testing of credit parameters.
- Present results of your team's work to senior management.
Qualifications
- Advanced degree in finance, economics, statistics, or a related quantitative field and 2-5 years of relevant work experience. A relevant PhD can substitute for some or all of the work experience.
- In-depth understanding of multivariate statistics.
- Knowledge of banking regulations, with particular emphasis on credit-related issues and credit modeling methodologies is desirable
- Good project management skills and a demonstrated ability to work independently on complex projects.
Please direct applications to Matthew Gallira with Huxley Associates for more information.
To find out more about Huxley Associates please visit www.huxley.com