Position #1 Description
This company is looking for a modeling analyst primarily involved in validating and evaluating financial models. The individual will work with a team responsible for managing models used for rating analysis, and conduct independent reviews and tests of models to ensure consistency with rating criteria and to verify model accuracy.
Qualifications:
- Strong knowledge within the field of financial engineering and programming.
- Master's degree in a related field or relevant experience (0 to 5 years).
- Strong SAS and VBA skills are required.
- Experience with C++ is a plus
Position #2 Description
The successful candidate will assist in developing and documenting rating models (score cards) that quantify various aspects of credit risk, such as probability of default and loss given default. He or she will work closely with other members of the Credit Capital and Rating Analytics Group and with Credit Research Analysts
The position is part of Credit Capital and Rating Analytics Group, which is part of the Credit Risk Department, is responsible for building credit rating models and calculating credit risk capital. The rating models quantify various aspects of credit risk. They serve as benchmarks for Credit Research Analysts and ensure consistency among ratings throughout the firm.
Primary Responsibilities:
• Assist in developing and documenting rating models (score cards) that quantify various aspects of credit risk and meet regulatory requirements
• Assist in developing/maintaining LGD models
• Conduct on-demand rating system performance analysis
• Process Data for various purposes
Skills Required
• The position requires a Master degree or an equivalent background in a quantitative discipline with 1-3 years of work experience.
• Solid statistical knowledge with strong interest in finance and modeling
• Programming skill in a high-level language such as Matlab or SAS. Familiarity with SQL and VBA is a plus
• Team player with strong interpersonal and communication skills
• Sound Knowledge of Microsoft Office including WORD, EXCEL applications
Skills Desired
• Past experience in building rating score cards is desired
• Credit experience is desired
• Solid accounting knowledge is desired
