Manager / Associate - Loss Forecasting and Basel II Model Validation

Credit Risk Model Analysis & Validation within a large financial services company

Responsibilities:

• Support the validation of loss forecasting and Basel-related models used to measure risk of a wide arrange of financial assets

• Review and assess the methodologies for calculating regulatory and economic capital.

• Employ advanced statistical, financial and economic concepts in the analysis of large data sets used within the referred model

• Produce key management reporting and commentary for use in business decisions such as pricing, risk mitigation and capital allocations

• Proactively identify the tasks required within the model validation team to improve overall processes and deliver meaningful information to management

Requirements:

• 2+years forecasting or pricing models experience for credit-sensitive assets (mortgages, auto loans, credit cards, commercial lending)

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

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

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

• Strong communication skills

• Master’s / 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