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Quantitative Credit Risk Manager

  • Job type: Permanent
  • Location: Los Angeles, California
  • Salary: US$100000 - US$150000 per annum
  • Job reference: 188421/001_1533593369
  • Sector: Selby Jennings, Risk Management
  • Date posted: 06/08/2018

The Teams focus is on the development and implementation of quantitative risk models to support the firm's internal rating-based (AIRB) approach to risk under Basel II. This will involve developing PD and LGD models for the groups key counterparts and credit exposures. This will allow candidates to gain unrivalled exposure to counterparties and senior internal stakeholders.

With the role being of VP level there will be some managerial aspects of overseeing junior analysts within the team and with the group looking to expand in 2019 there will be potential to take on some direct reports.

Key Requirements:

  • Excellent Quantitative academic qualifications (PhD preferred)
  • 2-5yrs experience within a related function (Risk modelling, Quantitative Analytics)
  • Wholesale risk modelling experience is preferred.
  • Strong PD / LGD modelling experience
  • Good understanding of Basel II
  • Excellent programming skills (SAS, MATLAB, C++)
  • Strong Communication skills
  • Willing to relocate to Los Angeles
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