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Quantitative Credit Risk Analytics, VP

3 months ago

New York, United States Selby Jennings Full time

Description

My client is seeking an experienced Wholesale Modeler to join their dynamic team of Risk Strategists. This role offers an exciting opportunity for a skilled quantitative expert with a strong background in wholesale credit risk rating - PD (probability of default) and LGD (loss given default) modeling. You will collaborate with cross-functional teams to design, develop, implement, and validate complex financial models.

The ideal candidate should have experience developing internal risk rating models, collaborating with stakeholders to ensure model outputs align with strategic goals, and conducting rigorous model testing to assess accuracy. Expertise in Python is essential.

Requirements

  • Deep understanding of main credit risk parameters (TM/PD, LGD, EAD, and EL) modeling
  • Master's Degree in quantitative subject
  • Strong knowledge in statistics and statistical tools like hypothesis testing, regressions, time series models, MCMC Bayesian tool, and state space.