VP Risk Analytics - Wholesale Credit Risk Model Development VP Risk Analytics - Wholesale Credit Risk Model  …

Selby Jennings QRF
in Dallas, TX, United States
Permanent, Full time
Be the first to apply
Negotiable
Selby Jennings QRF
in Dallas, TX, United States
Permanent, Full time
Be the first to apply
Negotiable
Selby Jennings QRF
A leading bulge bracket bank is looking to hire a VP level professional within Risk Capital, who will be responsible for developing metrics that will be used to set risk limits and assess the profitability of large-scale transactions. This person will be developing wholesale credit risk models in support of Risk Capital and Stress Testing for the bank. This is a very technical, hands on model development team that does the model development, prototyping and implementation.

VP Risk Analytics - Wholesale Modeling

A leading bulge bracket bank is looking to hire a VP level professional within Risk Capital, who will be responsible for developing metrics that will be used to set risk limits and assess the profitability of large-scale transactions. This person will be developing wholesale credit risk models in support of Risk Capital and Stress Testing for the bank. This is a very technical, hands on model development team that does the model development, prototyping and implementation.

What You Will Be Responsible For:

Working with senior quants in the business to develop Risk Capital/Stress Testing models for wholesale credit risk

Developing PD/GLD/EAD models to measure economic capital

Developing risk capital models for securitization exposure

Implementing model analytics, model libraries/engine/executables and relevant analytical tools using languages such as C++, Python and VBA

Testing Model performance and implementing testing suites

What We Need to See in You:

At least a Masters degree in a quantitative discipline (preferably a PhD)

At least 5 years of experience working in analytics, quantitative programming and implementation roles

Model development experience in wholesale credit risk, default correlation, and concentration risk

Knowledge of wholesale CCAR PD/LGD/EAD models and knowledge of wholesale CECL is encouraged

Proficiency in C++/C, Python, VBA

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