VP Quantitative Credit Risk
Key Responsibilities
- Conduct advanced statistical analyses to support the development of quantitative credit risk methodologies, including frameworks aligned with IFRS9 and CECL standards.
- Design and implement Probability of Default (PD) and Loss Given Default (LGD) projection models for internal and regulatory stress testing exercises, such as EBA stress tests and CCAR.
- Develop innovative climate risk modeling techniques for use in stress testing, scenario analysis, and ICAAP (Internal Capital Adequacy Assessment Process).
- Build and maintain robust data processing tools and apply advanced numerical methods; ensure thorough documentation of modeling concepts, sensitivity analyses, and benchmarking results.
- Foster strong relationships with internal stakeholders across departments, as well as with external auditors and regulatory authorities, ensuring transparent and effective communication.
- Lead and manage large-scale model development projects, ensuring timely delivery and alignment with strategic objectives.
Skills & Experience
- Advanced degree (Master's or PhD) in a quantitative field such as mathematics, statistics, physics, econometrics, or quantitative finance, complemented by substantial industry experience in quantitative analytics.
- Proven analytical capabilities with a proactive approach to problem-solving and innovation.
- Deep understanding of financial instruments, market dynamics, and regulatory requirements related to risk modeling.
- Proficiency in programming and modeling tools such as Python, MATLAB, R, or similar platforms.
- Excellent communication and presentation skills, with the ability to convey complex concepts clearly to diverse audiences.
- Demonstrated leadership and project management skills, with experience guiding cross-functional teams and delivering high-impact results.
FAQs
Congratulations, we understand that taking the time to apply is a big step. When you apply, your details go directly to the consultant who is sourcing talent. Due to demand, we may not get back to all applicants that have applied. However, we always keep your CV and details on file so when we see similar roles or see skillsets that drive growth in organisations, we will always reach out to discuss opportunities.
Yes. Even if this role isn’t a perfect match, applying allows us to understand your expertise and ambitions, ensuring you're on our radar for the right opportunity when it arises.
We also work in several ways, firstly we advertise our roles available on our site, however, often due to confidentiality we may not post all. We also work with clients who are more focused on skills and understanding what is required to future-proof their business.
That's why we recommend registering your CV so you can be considered for roles that have yet to be created.
Yes, we help with CV and interview preparation. From customised support on how to optimise your CV to interview preparation and compensation negotiations, we advocate for you throughout your next career move.