Lead Quantitative Risk Strategist
1 day ago
About the Role:
We are seeking an experienced Quantitative Analyst to join our team at Network Recruitment. As a key member of our credit risk management function, you will be responsible for developing and maintaining credit risk models to deliver a holistic view of credit risk exposures.
Key Responsibilities:
- Credit Risk Modeling: Develop and implement tools like economic capital and earnings at risk models to lead the implementation of a comprehensive credit risk strategy.
- Model Maintenance & Validation: Ensure accuracy and compliance by maintaining, updating, and validating credit risk models in line with annual requirements.
- Risk Exposure Analysis: Deliver monthly and quarterly insights into portfolio changes and aggregate risk exposures across all business units.
- Risk Appetite & Strategy: Collaborate with the Head of Credit to set and cascade credit risk limits, ensuring strategic alignment with business objectives.
- Portfolio Optimization: Partner with business units to refine portfolios, leveraging credit tools to enhance alignment with risk strategies.
- Model Enhancement: Support business units by refining models for probability of default (PD), loss given default (LGD), and other critical metrics.
- Stakeholder Collaboration: Build strong relationships with credit quants, boosting their capabilities and model performance.
- Governance: Play a key role in the technical credit risk model approval process, ensuring compliance with group-wide standards.
About You:
To be successful in this role, you will need:
- A minimum honours degree in finance, financial engineering, quantitative analytics, actuarial science, or a related field (postgraduate qualification is an advantage).
- 5+ years of banking experience with hands-on expertise in developing and maintaining credit risk models (PD, LGD, etc.) for retail and investment portfolios.
- Moodys Risk Frontier experience is essential for aggregating and analyzing credit exposures across portfolios.
- Expertise in Economic Capital Modeling and tools for aggregating credit risk exposures across multiple dimensions.
- Strong technical analysis, problem-solving, critical thinking, and data analytics skills.
Salary: The salary for this position is estimated to be around $120,000 - $150,000 per annum, depending on experience.
Location: This role is based in [location], however remote work arrangements can be discussed.
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