VP, Risk Methodology Specialist

Full Time

International Banking Client

Office Status: Hybrid (2-3 days per week in office)

Responsibilities:

  • Complex statistical analyses as part of quantitative credit risk methodology development projects, e.g., related to Comprehensive Capital Analysis and Review (CCAR)
  • Development of PD and LGD projection models for client’s CECL/IFRS9 framework
  • Data processing, including aggregation of information from various data sources and extensive use of advanced numerical methods
  • Documentation of new models and model changes, including e.g., details on mathematical assumptions, sensitivity analyses, and benchmarking results
  • Relationship management, i.e., building relationships with key stakeholders and business associates across various departments of the Bank
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