A growing international bank is looking for a senior quantitative model developer, to help lead the development and ongoing maintenance of credit risk rating models in a dynamic, research-driven environment. Joining the Credit Risk Analytics team, you will work on enhancing probability of default (PD) models for wholesale credit portfolios. develop rating methodologies, test model performance, and ensure quality controls. You will collaborate with stakeholders, interpret model results, prepare presentations, and produce training materials for diverse audiences.
Responsibilities
- Redevelop and maintain probability of default (PD) credit risk rating models for wholesale credit portfolios.
- Develop methodologies, algorithms, and tools for model creation, testing, and performance analysis.
- Document methodologies, including mathematical derivations, data analyses, and quality controls
Requirements
- PhD or master's degree in statistics, economics, physics, or related quantitative fields.
- Minimum of 5 years of experience in quantitative model development or validation.
- Strong quantitative skills, including hypothesis testing, regressions, and simulation techniques (e.g., MCMC).
- Proficiency in Python or R for building and testing statistical models.
