Recruiter at Black Turtle
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Wholesale Credit Risk Modeling Quant Role (5-8 yrs)
- To work as part of the IMR function in the delivery of Model appraisals;
- Responsible for model review on wholesale credit areas like C&I (Commercial and Industrial), CRE (Commercial Real Estate) Portfolios etc.
- Independently review the models being assigned, fully understand the model theory and model assumption, and verify the formula derivation;
- Develop independent models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations;
- Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed;
- Write high quality model appraisal reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing;
- Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Committees, Senior Internal Stakeholder Groups and Regulators;
- Mentor less experienced analysts and provide expertise and technical support across multiple projects;
- Work with Senior Managers across IMR to build relationships with Model Developers / Owners.
Skills/ Experience Required
- Master's degree in Mathematics/Statistics/Finance/Economics/Computer Science/Engineering, or other quantitative fields. Bachelor's degree from top schools in the above area with exceptional academic records and strong knowledge in financial modeling may also apply;
- At least 2+ years of experience in the financial/banking industry;
- Must have 2+ years of proven experience of financial modeling experience in validation/development in Risk Management in Wholesale domain
- Good knowledge of regulatory regulations like Basel, CCAR/DFAST, PRA.
- Knowledge of programming skills in one or more of R, SAS, SQL;
- Experience of conducting independent model reviews is a plus;
- Fluency in English both spoken and written