Director / Senior Manager - Loss Forecasting and Basel II Model Validation

Lead or Co-Lead the Credit Risk Model Validation process within a US bank

Responsibilities:

• Manage a team  responsible for  validating Basel-related and/or loss forecasting models for a large number of retail and commercial portfolios

• Utilize advanced statistical, financial and economic concepts to produce analysis that can be used by management in business decisions such as pricing, risk management and capital allocation

• Organize and execute complex projects and presenting meaningful analysis and commentary to senior management, audit, regulators, and other stakeholders on credit risk models employed under a Basel 2 framework.

• Influence positive change through leadership, sound statistical and quantitative analysis and demonstrated subject matter expertise

• Proactively build strong relationships with internal teams within Senior Management, Treasury, Credit Risk Quantitative Development, Market Risk, Finance and Human Resources,

• Recruitment, mentoring and training junior staff

Requirements:

• 7+ years forecasting or pricing models experience for credit-sensitive assets ( auto loans, credit cards, revolving loans, commercial lending). Must have extensive expertise in Cards

• Strong experience with economic forecasting, PD/LGD estimation techniques or economic capital calculations

• Deep understanding of applied statistical techniques: linear and non-linear regression, time series forecasting, panel data analysis, optimization, data mining and survival analysis

• Current experience gained in a similar position and ability to demonstrate strong familiarity with US Basel Requirements

• Ability to influence positive change at all levels in the organization

• Experience in SAS, R, Matlab or similar software.

• Excellent communication and presentation skills

• Ph.D. degree in a quantitative discipline (e.g., statistics, physics, math)

For immediate consideration, please forward resume and contact details to:info@ashtonlanegroup.com