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HR Recruiter at Black Turtle
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Manager - Wholesale Credit Risk - Quantitative Research Group (2-12 yrs)
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.
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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