Manager - Wholesale Credit Risk - Quantitative Research Group

Quantitative Research group within the Risk organization, is looking for a capital modeler to tackle the regulatory modeling for securitized exposures (Basel/CCAR).

The models include probability of default, loss given default, exposure at default and stress-testing.

Applicant should combine the skillset below. Application not meeting the statistics and programming requirements will not be considered.

Statistics:

Requirement:

- Solid theoretical and practical knowledge of probability methods and usual models: generalized linear models, time-series analysis, panel data-

- Data mining background and experience: clustering, decision trees, logistic regressions-

Good to have:

- Familiarity with classification problems applied to credit risk.

Programming:

Requirement:

- Hands-on programming in one or more of the following: R, Python/pandas.

Good to have:

- Experience in dealing with sizable datasets (parallel processing, code optimization)

Education:

Requirement:

- PhD or M.Sc in quantitative field: econometrics, mathematics, physics, engineering.

Finance:

Requirement:

- Basic knowledge of the Basel III regulatory capital framework (credit RWA).

- Some credit risk experience in either wholesale or retail.

- Basic knowledge of common structured products (ABS, CLO).

Good to have:

- Exposure to CMBS and/or Commercial Real Estate.

- Exposure to mortgages.

Writing skills:

Requirement:

- Verifiable experience in writing technical documents and/or academic papers.