Quantitative Risk Analyst/Credit Risk Models
Are you a self-motivated individual who is hardworking with proven work history? Are you a driven team player who is looking to join a fast-paced, high-growth, and energetic team? Are you the talented professional we are looking for? If yes, Apply Soon!
Working with one of the top financial clients, this role calls for a Quantitative Risk Analyst/Credit Risk Models who will lead the development of Non-Retail Credit Risk Rating models. This candidate will participate in the development, tuning, and documentation for new or amended Borrower Risk Rating (BRR), Facility Risk Rating (FRR), and Expected Loss (EL) models.
Responsibilities:
- Conduct extensive Business Acceptance Testing to ensure that models meet design specifications
- Create and manipulate extensive data spreadsheets for model tuning, stress and sensitivity testing
- Support Annual Model Review and Model Validation schedules as required, including data and documentation preparation
- Engage with working groups of subject matter experts to ensure that all credit risk models are current per best industry practices and standards
- Review and understand risk rating methodologies of public rating agencies (Moody's, S&P, Fitch, DBRS) and identify potential gaps with internal models
- Work closely with Credit Risk Policy in the launch of new initiatives or reviews to ensure enterprise-wide models are consistent across borders
- Complete ad hoc analysis promptly as requested
Desired Skill Set:
- 3+ years of experience with SQL
- 3+ years of experience with Python
- 3+ years of experience with Advanced Excel skills (VBA, macros)
- Strong written & verbal communication skills
Nice To Have:
- Experience working with stakeholders, executives, and upper management
- Experience in commercial/corporate banking function or other credit risk areas
- Working knowledge of non-retail credit risk rating methodologies and Basel parameters (PD, LGD, EAD)
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