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Credit Risk Modeller, Credit Risk, San Francisco, USA, Salary: $50-90,000
A Boutique Investment Bank seeks a Quantitative Risk modeller to join the Risk Methodology.
You will be responsible for implementing, validating, developing PD, LGD and EAD models.
Responsibilities
-Conduct Regular and ad-hoc validation of scorecard performance, Basel II PD, LGD and EAD models as well as portfolio stress testing,
-Generate, analyse and monitor portfolio risk and capital reports,
-Work with Group Risk on group-wide programmes such as Economic Capital Model, ICAAP framework and stress testing.
Ideal Candidate:
-Degree or Masters in Quantitative programme. E.g. Maths, Physics or Finance,
-1-4 years experience in credit risk modelling preferable,
-Analytical mind and sound business insight,
-Self starter with proven ability to manage.
Keywords: Credit Risk, Quantitative, Credit, model, modelling, San Francisco, California, PD, LGD, EAD
Apply by email.
Please do not modify the subject of the mail or your application will not be considered.
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