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Quantitative Credit Risk Validation - AVP

  • Job type: Permanent
  • Location: Los Angeles, California
  • Salary: US$100000 - US$120000 per year
  • Job reference: 188421/002_1536594350
  • Sector: Selby Jennings, Risk Management
  • Date posted: 10/09/2018

Description:

A leading US based bank is looking to expand its risk analytics group with a key hire within the team. The role will report directly into the Head of Credit Risk Analytics and also a dotted reporting line into the Quantitative Analytics group

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.

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

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