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AVP - Credit Risk Model Validation - Wholesale

  • Location: New York
  • Salary: Market Rate
  • Job type: Permanent
  • Job reference: JO / 1661221
  • Sector: Credit Risk
Job Description

Model Validation – Wholesale Credit Risk Quantitative Analysts are required to join a Tier 1 Bank based in Manhattan.

Responsibilities:

  • Conduct the validation and independent review of Risk models, Economic capital models, Stress testing models, AML models, RWA calculator, Risk Strategy models and Broker dealer reporting framework in accordance with the internal & external/regulatory guidelines.
  • Maintain sufficient independence from the development, implementation and management of the risk and capital tools/ systems so as to remain unbiased and independent as defined and required by the regulations.

Must have:

  • LGD / PD / EAD Wholesale modelling experience within validation
  • Must have comprehensive understanding of the changing regulatory environment, OCC 2011-12 guidance, Basel II and Basel III guidance, CCAR guidelines, etc.
  • Must adapt to the evolutionary nature of the analytical processes used to model increasingly more complex portfolios, products and counterparties.
  • Comprehensive understanding of retail credit risk, wholesale credit risk, ICAAP, EWST, economic capital concepts. Applicable Wholesale portfolios include, but not limited to SME, MME, Private Banking, CRE, GBM, along with the full range of product offerings within each business. Knowledge of market risk and counterparty credit risk would be a plus.
  • Must be prepared to be called on by GMO to deliver reviews of Global models, in addition to existing local priorities.
  • Understanding of AML framework, relevant regulations and procedures would be a plus.

If you are interested in learning more about the opening do apply for the role and e mail jo@barclaysimpson.com for a confidential discussion.

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