Quantitative Credit Risk Analytics, VP

3 weeks ago


New York, United States Selby Jennings Full time

Description:

My client is seeking an experienced quantitative model developer to join their dynamic team of Risk Strategists. This role offers an exciting opportunity for a skilled quantitative expert with a strong background in 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.

Responsibilities:

  • 5-7 years of experience developing credit risk models
  • Expertise in Python, SQL, and R
  • Working knowledge of MCMC, Bayesian tool, time series analysis and machine learning techniques
  • PhD in a quantitative background


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