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CIB Risk - Quantitative Research Model Development and Capital Analysis - Associate

Req #: 170109792
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 3000 US Dollar (USD)
Job Description
Model Development and Capital Analysis Team of Quantitative Research (QR) Group seeks a strong junior quant/analyst to conduct research on wholesale credit risk and to develop models used for regulatory reporting and accounting for Basel and beyond. The candidate will be responsible for validating data and portfolio information, developing and implementing quantitative models, facilitating/customizing model inputs and outputs, analyzing/reporting model results, writing documentation. Candidates should possess excellent quantitative/analytic skills and a broad knowledge of probability, statistics, applied mathematics, numerical recipes and programming. Basic knowledge of financial markets and products is a plus.
Core Responsibilities:
  • Participate in support and further development of internal probability of default (PD) and rating migration models.
  • Analyze and understand wholesale loan historical portfolio data, including: definition of default and default frequencies, obligor ratings and rating migration, exposure quantities, loss given default.
  • Provide support of Basel and CCAR PD modeling efforts.  
  • Build risk analytics tools to monitor model performance and risk measures.
  • Work on allowance for loan and lease losses (ALLL) calculations and reporting, and participate in ALLL model development and implementation.
  • Strong knowledge of probability, statistics and applied math.
  • Experience with programming in scripting languages (Python, R, Matlab) or C/ C++. Knowledge of Excel and VBA is a plus.
  • Knowledge of standard numerical methods and algorithms.
  • Undergraduate or graduate degree (preferable) and experience in mathematics or physical sciences or computer science or a quantitative discipline (e.g. engineering, computing, statistics), or financial economics with quantitative background.  
Skills & Experience:
  • Strong quantitative / analytical skills.
  • Strong organizational / project management skills with the ability to handle multiple initiatives/ work streams simultaneously.
  • The ability and motivation to take initiative and solve problems independently.
  • Experience in wholesale credit risk is a plus.
  • Excellent communication skills (oral and written).
  • Proven ability to develop collaborative relationships with key internal partners to achieve objectives.
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