Description
Multiple openings for junior to mid-level quants.Job Duties
- Role will require closely working with the Model Development/Model Validation/Risk
- Management team at one of the largest US financial firms.
Key responsibilities include helping the bank with model development, model validation or risk model documentation in the areas of Credit Risk/Market Risk
- understanding modelling and validation methodologies
- developing and executing test plans to make sure the compliance with regulatory guidelines, analyzing model weaknesses, benchmarking to external vendor models, documenting and reporting the results.
- Models coverage:
- The candidate would be required to work on development and model validation of risk models - PD,LGD, EAD, VaR (market, credit)
- Enterprise risk/stress testing models - PPNR modeling, loss forecasting, econometric modeling
Qualifications
Masters /MBA degree in a quantitative discipline - Mathematics, Statistics, Economics, Physics, Financial Engineering, Finance. PhD will be a plus.
Skills Required
- Good understanding of Financial Markets and Banking in the area of Risk Management; familiarity with multiple asset classes will be a plus.
- Experience in model development, model validation or stress-testing
- Should have good understanding of regulations such as BASEL 2/2.5/3, Dodd Frank Act. CCAR etc and its implication for banks
- Good Analytical/Numerical experience demonstrated by cutting edge quantitative/statistical
- analysis projects and experience with statistical packages such as MATLAB/SAS/R
Excellent communication skills, both written and oral.