Econometric Modeler (PhD) C++ Structured Finance
- New York, NY, USA
- Permanent, Full time
- Analytic Recruiting Inc.
- 13 Sep 17
Major financial firm in New York is looking for a Model Risk Manager with a Quantitative PhD to design, build or enhance the banks structured finance credit risk models.
- Work with a team of Quantitative Modelers who are building and enhancing firm wide risk metrics and risk analytics (Model Performance)
- Provide Quantitative Research, Analysis and Guidance to improve existing credit risk models with a focus on Structured Finance transactions (RMBS, CMBS, CLO’s)
- Develop econometric models (serial correlation, hazard, logit and probit, vector autoregression)
- Lead model validation and model governance activities pertaining to Structured Finance credit risk and scorecard models
- Review credit risk model methodology and documentation to insure model accuracy and consistency across the firm’s large inventory of models
- Develop close working relationships with senior business unit heads
- Work across the firm to implement new risk governance and risk policies
- Act as a subject matter expert on Structured Finance Credit Risk Modeling
- Quantitative PhD (a strong requirement) Econometrics, Stochastic Modeling
- Must have current and advanced programming skills in C++. Matlab
- Minimum of 6 years building Structured Finance Credit Risk Models
- Deep understanding of the underlying loans and collateral in securitized RMBS, CMBS and CLO transactions
- Must have deep knowledge of econometric models (serial correlation, hazard, logit and probit, vector auto-regression)
- Current hands-on experience documenting, reviewing and stress testing structured products valuation, market and credit risk models
- Experience with Credit Risk Model Development, Model Review and Model Risk Governance
- Must have superior oral and written communication skills to be successful implementing model changes and influencing senior risk managers
- Must have strong project management skills
- Most important- the ability to work with senior risk managers; to be able to discuss complex quantitative issues and ideas; and to help implement needed enhancements and improvements to existing credit risk models firmwide.
Keywords: PhD, Econometrics, Stochastic Modeling, Structured Finance, Model Risk Management, Model Governance, Model Development, Stress Testing, Credit Risk Model Research, RMBS, CMBS, CLO’s
Please refer to Job 22798 - and send MS Word attached resume to email@example.com.