Description
One of the world's leading financial services providers and most sophisticated investment banks is seeking to expand its Enterprise Risk Management team with the addition of a VP-level Quantitative Analyst.Candidates will join the Credit Risk Parameter Team, which is focused on building quantitative models to support the bank's application of the AIRB approach to risk measurement under Basel II. These models inform capital allocation strategy to business units and will enhance risk management firm-wide.
The position is focused on developing and documenting estimates of the probability of default (PD) and loss given default (LGD) for the bank's counterparties.
Qualifications:
- Ph.D in finance, economics, statistics, physics, or other quantitative field.
- In-depth understanding of multivariate statistics
- Experience modeling credit risk for wholesale financial institutions
- Knowledge of statistical or analytical modeling language (SAS, Matlab, Stata, S+, etc.)
- Experience working with large and complex data sets
- Strong written and verbal communication skills
- Knowledge of banking regulations, with particular emphasis on credit-related issues and credit modeling methodologies.
Highly motivated candidates please contact Matthew Gallira with Huxley Associates for consideration.
To find out more about Huxley Associates please visit www.huxley.com