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Associate Director - Model Development

  • Job type: Permanent
  • Location: New York
  • Salary: £150000 - £160000 per annum
  • Job reference: 163211/001_1541458908
  • Sector: Selby Jennings, Risk Management
  • Date posted: 05/11/2018

Are you looking to advance your career and industry knowledge with one of the top performing global investment banks? Are you looking for a better work-life balance and collaborate with some of the industry's most talented model development teams?

This opportunity would sit on one of the top performing banks for the past decade and would provide a great exposure to senior management and allow for collaboration extremely intelligent individuals. You will be working with the bank's model development team to make improvements on existing models and work with the latest technologies to develop new ones. Additionally, you will be stress testing these models to assure optimal performance. In addition to hands on development, you will be able to liaise between the development team and senior management.

Responsibilities:

  • Hands on Development and stress testing of PD/LGD/EAD models for the banks credit card portfolio.

  • Communicate model performance and necessary changes to senior management.

  • Document bank's credit stress test methodologies, frameworks, and practices.

  • Research and benchmark on credit methodologies to ensure we are a leading institution on best practices across the industry

Requirements:

  • 3-5 years of experience working on a consumer credit portfolio, specifically with credit cards.

  • Knowledge of a least two statistical/numerical software; such as SAS, R, Matlab, VBA, Stata and/or E-Views (among others).

  • Ability to communicate, verbally and in writing, complex concepts to a non-technical audience.

  • Experience in regression and econometric modeling

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