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Selby Jennings - New York, NY
posted 21 days ago
Full-time - Senior
New York, NY
Administrative and Support Services
About the position
The position of Senior Quantitative Model Developer at a growing international bank involves leading the development and maintenance of credit risk rating models within the Credit Risk Analytics team. The role focuses on enhancing probability of default (PD) models for wholesale credit portfolios, ensuring quality controls, and collaborating with stakeholders to interpret model results and prepare training materials.
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.
