Senior Quantitative Financial Engineer
Work as part of the Retail Risk Analytics team to develop and enhance portfolio models for reserves, capital and stress testing, as well as to enhance estimations of Basel II parameters for Retail credit risk across our diverse retail portfolios. Perform reliability analysis and quality control of modeling data. Build and maintain the required software infrastructure for models and applications. Develop and maintain technical documentation for multiple projects, including model descriptions, mathematical derivations, data analysis, data quality control and processes. Provide support for validation, audit and supervisory reviews.
•Masters in Quantitative field (statistics, quantitative finance, math, economics, etc)
•Relevant work experience strongly encouraged
•Knowledge of risk assessment, risk monitoring and risk management models and techniques
•Extensive experience with time series and statistical analysis, advanced modeling techniques and numerical implementations
•Strong programming skills (Java, SAS, SQL)
•Solid technical background in banking and bank products a significant plus, as is knowledge of Basel II/III regulatory framework
•Detail oriented with proven project management and ability to deliver high quality projects on time
•Proven experience in developing and maintaining detailed technical documentation for models and processes
•Strong written communication and ability to present work to non-technical audiences.