This person will focus on the development and implementation of Rating Templates, Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) modelling methodologies as part of the ongoing enhancement of credit models for internal risk management and regulatory capital requirements. The successful candidate will be part of a small team of internal staff that will liaise with internal customers and stakeholders, primarily the Credit Department and Counterparty Portfolio Management Group.

Additional responsibilities include: Develop and enhance the internal rating/scorecard methodologies; Provide subject matter expertise and develop models to estimate PD (especially for low default portfolios), LGD, and EAD; Develop credit model performance monitoring and validation techniques, including backtesting; Develop business requirements related to the internal ratings systems, Basel II IRB and internal model methods, and other exposure methodologies; Develop credit stress testing methodologies; Manage a team of 2-4 quantitative associates; Lead the development of the default database for model validation and calibration of default probabilities; Write and maintain robust model and process documentation that satisfies the firm's internal model approval functions, audit requirements, and the firm's primary regulators (e.g., SEC and FSA); Evaluate gaps with Basel II and best practices of international leading banks and develop recommendations and implementation plans for such models; Maintain appropriate relationships with various stakeholders, business units, and senior management to obtain buy-in/signoff and communicate developments regarding new models, processes, and methodologies.

The ideal candidate will have 10 years or more of experience in credit analysis and/or risk management ; Prefer PhD with a focus in finance, statistics, economics, or other quantitatative methods; Team management skills - coaching, developing and leading others; Strong written and verbal communication skills for report writing, business requirement proposals, client interaction, methodology documentation; Experience in developing credit rating scorecards and new credit risk models; Experience or knowledge of Basel II approaches.

For more information or immediate consideration, please refer to job# PHD-428 and submit your resume in Word format to: ian@comprehensiverecruiting.com