| Credit Risk Quant |
| Location: |
Hong Kong |
| Start Date: |
ASAP |
| Position type: |
Permanent |
| Duration: |
Permanent |
| Remuneration: |
up $850,000 HKD per year |
| Job ref: |
DM1000 |
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| Credit Risk Quant required for a top international Risk Management software and solution provider. Experience relating to the modeling and quantitative aspects of Basel II, Pillar I and Pillar II / ICAAP requirements. |
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An experienced quantitative credit risk professional is required to join an existing team in our Advisory Services group. The group provides these firms high quality risk management solutions, with a particular focus on reviewing, validating, and developing best practice credit risk processes and methodologies across fundamental credit models, structured credit products, and portfolio level risk.
The successful candidate will have excellent experience related to the modeling and quantitative aspects of Pillar I and Pillar II / ICAAP requirements. The individual will have direct knowledge of economic capital measurement methodologies for multiple portfolios; stress testing methods in line with regulatory requirements; and performance measurement approaches. The nature of projects also includes Pillar I applications, for instance PD and LGD modeling, and also is likely to extend beyond credit risk assignments into other areas of risk.
The Requirements
· Master or PhD degree in statistics, mathematics, finance, economics, or equivalent
· Over 4 years of solid experience in credit risk modeling at a major bank, corporate or consulting firm
· Solid understanding and proven track record of quantitative techniques and models as applied to credit risk for commercial and retail portfolios, including economic capital and portfolio risk modeling, performance measurement methodologies, regulatory and economic capital processes & allocation methodologies, and stress testing and scenario analysis
· Considerable knowledge of credit risk beyond the quantitative aspects alone is a strong plus
· Knowledge of Basel II Capital Accord and its implications - specifically with respect to Pillar 2 / ICAAP
· Experience of managing small groups of quantitative analysts and/or credit risk specialists is a strong plus
· Ability to communicate clearly and work as part of a small team (business analysts, quantitative analysts, data management)
· As work on client advisory assignments will be the focus of the position, the individual must be of a personable nature and command credibility from what is often a capable and demanding audience.
· Strong PC and statistical programming skills is required
· Client projects are performed both on- and off-site, therefore candidate must be willing to engage in a reasonable amount of travel
· Foreign language skills would be useful
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| Recruit Associates Worldwide Ltd. |
| UK +44 (0)870 1118089 |
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US +1 212 763 5575 |
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EU +44 (0)870 1117800 |
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