The purpose of the Director is to manage a team of quant analysts in the efforts of developing and documenting credit ratings models (PD/LGD/EAD). These models are used to determine losses from counterparty defaults and assign a rating to these entities. The Director is also responsible for ensuring Basel IRB compliance for these credit rating models and face off with regulators in presenting the models that the team has developed.
Location: New York, USA
• Strong academic background with an MSc or PhD from a reputable quant school
• Minimum 8- 10 years industry experience in econometric or statistical credit risk modeling, specifically in a commercial bank environment or ratings agency
• Experience in developing or validating credit rating methodologies (specifically PD/LGD/EAD)
• Must have solid understanding of credit risk in retail and wholesale portfolios
• Some experience with counterparty risk modeling
• Experience with Basel II and III rules, and experience with regulatory interactions
• Knowledge or experience with Basel II Internal Model Method (IMM)
• Experience with development and maintenance of stress testing models.
• Excellent communication skills (written and verbal)
• Proficiency with statistical modeling software: Matlab, R, SAS
• A huge opportunity to lead a team in a leading quantitative team in a top banking institution
• Very analytical and quantitative exposure
• Excellent opportunity for leadership role in mentoring junior members and leading as team's senior quant
This is an immediate hire, interviews are to begin soon and early application is advised. GQR also welcomes tentative enquiries from suitably qualified individuals.
Confidentiality and utmost discretion is 100% assured.
Key words: Credit Risk, Retail, Wholesale, Quantitative Risk, Risk Management, Risk Modeling, Risk Methodologies, Stress Testing, PD, LGD, EAD, Credit Ratings, Internal Model Method, IMM, IRB, Internal Ratings Based, Base, R, VBA, Matlab, SQL, Commercial Banking, New York, USA
APPLY | firstname.lastname@example.org
VISIT US | www.g-q-r.com/vacancies
While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
Search Consultant: James Friend
Contact Telephone Number: +44 (0) 203 141 8000
Linked In: http://www.linkedin.com/e/vgh/1615777
VISIT US | www.g-q-r.com | www.g-t-r.com | www.gqrgm.com
GQR Global Quant, GQR Global Trading, GQR Global Markets
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