Credit Risk Innovation Quant Modeling Associate
Credit Risk Innovation Quant Modeling Associate
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Job Description
Are you looking for an exciting opportunity to join a dynamic and growing team in a fast paced and challenging area This is a unique opportunity for you to work in our team to partner with the Business to provide a comprehensive view.
As a Credit Risk Associate within the Risk Management team you will play a pivotal role in supporting the firms growth by proactively identifying assessing and managing emerging risks. Your expertise in highquality credit analysis and statistical model development will be crucial in estimating monitoring and managing credit risk for TCIOs (Treasury and Chief Investment Office) fixed income portfolio which encompasses a diverse range of securitized and nonsecuritized asset classes.
Job responsibilities
- Conduct comprehensive credit analysis and develop quantitative models to forecast credit losses for TCIOs fixed income investments
- Perform indepth credit analysis for various TCIO investments across the fixed income spectrum. Engage with senior members of TCIO Credit Risk and the Portfolio Management teams to complete risk analysis present conclusions and facilitate timely investment approvals
- Develop statistically robust models to forecast credit losses for the fixed income investment portfolio by incorporating insights from new research in the credit risk domain and enhancing existing methodology
- Work alongside senior team members on product specific analysis required to support risk discussions including preparation and delivery of analytical presentations for various Senior Risk forums
- Support the model validation team by addressing queries and ensuring models meet regulatory requirements and are fit for use
- Mentor and train junior team members and colleagues sharing best modeling practices and domain knowledge
- Partner with the Front Office Finance Valuation Control Group Model Review Group Policy Finance Technology and Middle Office for other ongoing projects thus contributing to continued buildout of the TCIO Credit Risk franchise
Required qualifications capabilities and skills
- 36 years of relevant work experience in credit risk management within a financial organization or credit rating agency
- Proficiency in statistical modeling techniques including multivariate regression time series analysis panel data analysis logistic regression and machine learning algorithms
- A strong academic background with a minimum of a bachelors degree in a technical orquantitative field such as Engineering Economics or Finance
- Strong analytical background with sound understanding of financial statements including ratio analysis cash flow analysis and fundamental knowledge of key accounting standard
- Excellent verbal and written communication skills with an ability to deliver effective presentations to senior management
- Candidate must be able to lead multitask and thrive in a fastpaced environment managing multiple adhoc analytical requests and prioritize work accordingly
Preferred qualifications capabilities and skills
Knowledge of regulatory modeling (CECL / CCAR /IFRS9)
Proficiency in advanced analytical languages such as Python R
Required Experience:
IC
Employment Type
Full-Time
