Develop, monitor and maintain credit risk models for Basel II capital calculation for institutional/wholesale portfolios.
This person is also expected to work on the existing economic capital framework and regular economic capital reporting for institutional/wholesale portfolios. Responsibilities include generating monthly reports of economic capital components, monitoring and enhancing the performance of existing economic capital models, working with Technology team to enhance institutional risk management and reporting capabilities, and working with regulators and internal auditors in reviewing the current economic capital framework.
Qualifications:
1. Master or PhD degree in Statistics, Econometrics or closely related fields
2. Experience in economic capital credit risk modeling for institutional/wholesale portfolios
3. Knowledge of SAS and SQL is required
4. Ability to apply advanced statistical and/or other quantitative techniques to solve business problems
5. Good written and oral communication skills. Ability to articulate complex theories, concepts, methodology and findings
6. Self motivated and with sense of urgency
7. Willingness to work in a team environment and to cooperate with multiple partners.
