Quantitative Loss Forecasting Model Validation

  • Competitive Base & Bonus
  • Chicago, IL, USA
  • Permanent, Full time
  • Ashton Lane Group
  • 23 Feb 18 2018-02-23

Assist in the quantitative model validation for a large financial institution

Responsibilities:

  • Develop and implement validation strategies for statistical and other quantitative models used in loss forecasting, stress, and capital calculations including but not limited to PD, LGD, EAD
  • Assess the quality and risk of model methodologies, outputs, and processes
  • Develop alternative model approaches to assess model design and advance future capabilities
  • Understand relevant business processes and portfolios associated with model use
  • Understand technical issues in econometric and statistical modeling and apply these skills toward assessing model risks and opportunities
  • Plan and manage validation projects
  • Communicate clearly and concisely both verbally and through written communication via model validation reports and presentations

Requirements:

  • 2+ years of loss forecasting modeling experience in consumer or commercial risk
  • Strong experience with the validation of loss forecasting, stress testing and Basel-related models
  • Prior modeling or model validation experience covering default modeling
  • Strong communication skills
  • PhD degree in a quantitative discipline (e.g., statistics, physics, math)

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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