Job description

Requirements

  • Entry level
  • No Education
  • Salary to negotiate
  • New York City

Description

A Global Investment Bank in the New York area is seeking an experienced credit risk quant to act as the lead modeler for their mortgage portfolio. This individual will develop PD/LGD and stress testing models for CCAR, CECL, as well as for internal decision making on the portfolio. This team works on other products across retail and wholesale, so this individual will have the chance to contribute to other projects outside of just mortgages. The group prides itself on a collaborative work environment where the best ideas win and also allows for work from home flexibility.Responsibilities:


- Develop stress testing and macro-economic forecasting models that meet the international regulatory and accounting requirements


- Develop and maintain credit models for the corporates and retail portfolios including PD/LGD/EAD


- Support regulatory projects as required (e.g. US CECL, CCAR/DFAST, IFRS9, Basel IV)


Qualifications:


- Masters or Ph.D in a Quantitative field


- Strong experience in credit risk with an understanding of regulatory practice


- Experience with high-level programming language and statistical modeling software preferably in R


- Credit risk modelling in real estate financing is beneficial

  • accounting
  • real estate
  • retail
  • software