Quant Credit/Risk-Investment Bank-BA082514

Description:

Quant Credit Risk-Investment Bank. The Quantitative Risk group of this Investment Bank is responsible for conducting model validation to help identify, measure, and mitigate the risk of models. The objective is to ensure that models are used appropriately in the business context and that model users are aware of the models’ strengths and limitations and how these can impact their decisions.

Responsibilities:

• The successful candidate will have experience working on the validation of scoring and forecast models used in connection with origination, pricing and loss forecasting for retail credit products.

• Carry out model validation, including model reviews and model risk measurement:

• Design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks. 

• Interface with Finance and Risk professionals to monitor usage and performance of the models and distribute the findings of model validation.

 

Qualifications:

• Experience with applied quantitative research or model development in a consumer credit or mortgage pre-payment modelling.

• PhD or MS degree in Applied Math, Economics (quantitative), Physics, Engineering or similar.

• Understanding of probability theory, econometrics, statistics, and numerical methods.

• Experience dealing with large data sets.

• Inquisitive nature, ability to ask right questions and escalate issues.

• Risk & Control mindset

• Experience with statistical software (e.g., SAS, R).

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