AVP Risk Methodology Specialist

  • Base salary, bonus and excellent benefits.
  • New York, NY, USA
  • Permanent, Full time
  • The Forum Group
  • 20 Nov 17 2017-11-20

Our client, a top tier, global investment bank seeks to add a talented AVP level professional to join their expanding Risk division.

• Develop and refine quantitative credit risk methodology for economic and regulatory capital focusing on stress testing of credit risk exposures
• Remediate internal and regulatory methodology findings
• Support the execution of CCAR for Bank's U.S. subsidiaries
• Calibration of model parameters used in regulatory and economic capital calculations
• Run capital impact calculations for test portfolios upon request of risk management, business or U.S. regulator
• Communicate model results and prepare detailed SR11-07 compliant model documentation for new models and model changes including assumptions, underlying data, mathematical specification, sensitivity analysis and benchmarking results
• Maintain knowledge of industry standards and  regulatory requirements, particularly related U.S. regulatory capital and stress testing rules
• Prepare internal model governance and regulatory review process and coordinate agreement on methodology design with relevant stakeholders
• Coordinate the model development process with various teams within the bank

Qualifications & Skills 
• Graduate degree in mathematics, statistics, computer science or econometrics (higher degree M.S. or PhD is a plus)
• Solid background in financial mathematics and strong analytical skills
• Professional Excel and Access, plus experience with relevant programming including VBA
• Experience with additional programming languages and modelling software is a plus (e.g. R, Matlab, SAS, F-Sharp, Python, etc.)
• Well organized working approach and proven ability to solve problems independently with strong personal ownership and delivery focus
• Ability to work with large amounts of data from a number of inhomogeneous data sources
• Excellent communication and presentation skills; ability to explain mathematical concepts and results in simple terms
• Excellent written and verbal skills in English