Director - Credit Risk and Economic Capital Quant

Boston  ‐ Onsite
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Keywords

Description

Director - Credit Risk and Economic Capital Quant

One of the world's leading financial services providers and most sophisticated investment banks is seeking a Director for its growing Credit Risk and Economic Capital quant division. The group develops and implements quantitative methodologies to measure credit, operational, and other risks at the bank. The credit-related methodologies provide estimates of the probability of default (PD) for counterparties, loss given default (LGD), the credit conversion factor within the scope of the exposure at default (EAD), and the overall economic capital (ECap) requirement for credit risk. The PD, LGD, and EAD estimates are also key inputs to the bank's regulatory credit capital calculation under Basel II. The methodologies and associated estimates produced by the Risk Analytics Group support a wide variety of risk management functions at the bank including compliance with U.S. and international Basel II regulations, allocating capital to business units, and managing risk on an ongoing basis. The incumbent will lead Credit Risk Economic Capital Modeling Team.

Responsibilities

Depending on the interests and background of the candidate, he or she may specialize in supporting certain aspects of the team's overall responsibilities. Those will include:
  • Select the best approaches and alternative methodologies of measuring ECAP requirements
  • Adapt risk measurement methodologies to account for the unique risks posed by structured financial products.
  • Develop econometric models to predict the credit-related performance of different types of assets owned by the bank.
  • Design and employ macroeconomic stress scenarios to assess credit losses during times of stress.
  • Review Basel II regulatory guidance and ensure the methodologies developed comply with applicable regulations.
  • Work with IT to ensure computationally intensive simulation programs are accurately implemented.
  • Manage large and complex data sets using statistical tools and database technologies.
  • Utilize external market data, e.g., credit spreads, to refine and inform credit models.


Qualifications
  • Advanced degree in finance, economics, statistics, or related field (PhD strongly preferred.)
  • 5+years of relevant work experience.
  • Experience modeling wholesale credit risk for financial institutions.
  • In-depth understanding of credit risk methodologies (KMV, CreditMetrics, etc.), VaR, and/or other complex financial risk modeling is highly desirable.
  • Knowledge of Basel II Accord, with particular emphasis on credit-related issues and credit modeling methodologies.
  • Knowledge of statistical or analytical modeling language such as SAS, Matlab, Stata, or S+.
  • Strong written and verbal communication skills, and demonstrated leadership ability.


Highly qualified candidates should contact Matthew Gallira at Huxley Associates for consideration.

To find out more about Huxley Associates please visit www.huxley.com
Start date
03/2013
From
Huxley Associates
Published at
27.02.2013
Project ID:
495436
Contract type
Permanent
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