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
