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As part of a leading team within a dominating retail bank, your responsibilities will include directing the work of a unit whose staff develop value-at-risk models across multiple asset classes. You will use risk assessment models such as scenario models or sensitivity analyses to measure and quantify risk as it pertains to different classes of assets
- A minimum of 5 years of experience directly related to credit risk and price modeling.
- Graduate degree (preferably Ph.D.) in a related filed (e.g. Finance, Financial Engineering, Physics, etc.)
- Direct experience in the design, development, implementation, and/or validation of quantitative models used to manage fixed income securities, especially mortgage securities.
- Good communication skills (written and oral)
- Inter-personal skills conducive to teamwork is required
- Management experience is desired