Design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making
Job Summary
Design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making.
Lead a team performing complex tasks, using well developed professional knowledge and skills to deliver on work that impacts the whole business function.
Develop best in class credit risk models using industry leading model development frameworks & methodologies, work in a global quant team, with regulators across the world and cutting-edge technology.
Matching Summary
Design, develop, implement, and support mathematical, statistical, and machine learning models and analytics used in business decision-making.
Skills & Requirements
Must-have
Counterparty Credit Risk modeling
IMM Models, SA-CCR, CVA
Monte Carlo Simulation
Exposure / Collateral Modelling
Derivatives Pricing
Risk Factor Modelling
Python, C/C++ coding experience
Nice-to-have
Model Risk Policy adherence
Collaborate with technology teams
Advise and influence decision making
Lead collaborative assignments
Creative problem solving
Communicate complex information
Key Requirements
Assistant Vice President level experience
Experience with BASEL Framework
Experience with PFE, EPE, EPPE
Experience with Back-testing
Experience with Numerical Analysis
Experience with SR 11/7, SS1/23, SS12/13
Hands on Model Development/Validation experience
Experience with Stress Testing/Scenarios Modelling
Experience with Statistical Modelling for Wholesale credit book
Experience with Regulators and regulatory frameworks
Experience with Stakeholders – Model Owners, Audit, Validation