A bulge bracket bank is looking for a strong quantitative credit risk professional who has experience working with wholesale credit models, specifically CRE and C&I. This model risk team will be responsible for validating credit risk products and commercial banking models, including statistical/econometric based and machine learning models.
Core Responsibilities:
- Evaluate conceptual soundness of model specification
- Design and implement experiments to measure risk of model limitations
- Establish a working relationship with Finance & Risk professionals to monitor usage and performance of the models and syndicate the findings of model validation.
- Keep updates with latest developments within products and more
Qualifications:
- PhD or master's in quantitative discipline (such as Applied Math, quantitative economics, stats)
- 3+ years of experience in quantitative role, model development / validation, or credit risk management
- Strong skills in Python, R, or other equivalent languages
