• $140000 - $180000 per annum
  • Washington, DC, États-Unis
  • CDI, Plein-temps
  • Selby Jennings QRF
  • 14 nov. 17

PD / LGD - Model Validation - VP level

  • Lieu de travail : Washington, DC, États-Unis
  • Salaire : $140000 - $180000 per annum
  • Type de contrat : Plein-temps

A leading US based bank is looking to expand its risk analytics group with a key hire within the team.

Quantitative Credit Risk – Wholesale Model Validation (PD/LGD/EAD) | Tier One US Bank | USA

Location – Washington, DC

Salary – $140-180k + excellent bonus & benefits

 
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 within Enterprise risk management.

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 2018 there will be potential to take on some direct reports.

Key Requirements
  • Excellent Quantitative academic qualifications (PhD preferred)
  • 5-10yrs experience within a related function (Risk modelling, Quantitative Analytics)
  • Wholesale risk modelling experience is preferred.
  • Strong PD / LGD modelling experience
  • Good understanding of Basel requirements
  • Excellent programming skills (SAS, MATLAB, C++)
  • Strong Communication skills
  • Willing to relocate to Washington DC
 

Key Words: PD/LGD, Wholesale, Risk Modelling, Basel II, SAS, PhD, Quantitative Analytics