Quantitative Analyst

New York, NY

Company Name :IBA Infotech LLC

Type : Full Time

Primary Skills : PD/LGD/EAD Models, BASEL 2/2.5/3, Dodd Frank Act. CCAR.

Location : New York

CTC : DOE

Job Description:

  • The candidate works on client’s retail and wholesale banking models (PD/LGD/EAD Models) as well as marketing models
  • Understanding modelling and validation methodologies
  • Developing and executing test plans to make sure the compliance with regulatory guidelines, analysing model weaknesses, benchmarking to external vendor models, documenting and reporting the results.
  • Good understanding of Financial Markets and Banking in the area of Risk Management; familiarity with multiple asset classes will be a plus.
  • Experience in model development, model validation or stress-testing
  • Has good understanding of regulations such as BASEL 2/2.5/3, Dodd Frank Act. CCAR etc and its implication for banks
  • Preparing model development document for interest rate derivatives and running tests cases on risk platforms
  • Identify/quantify risks associated with spreadsheet being validated to ensure they meet the requirements of the spreadsheet policy
  • Good Analytical/Numerical experience demonstrated by cutting edge quantitative/statistical analysis projects and experience with statistical packages such as MATLAB/SAS/R
  • Excellent communication skills, both written and oral
  • Key responsibilities include helping the bank with various aspects of the Basel implementation including managing the project plan for Risk Analytics models development and evaluating/testing monthly RWA results for implementation accuracy
  • The candidate would be working on Basel II/III’s related projects (PD/LGD/EAD Models)
  • Understanding modelling and validation methodologies

Skills Required

  • Good understanding of Financial Markets and Banking in the area of Risk Management; familiarity with multiple asset classes will be a plus.
  • Experience in model development, model validation or stress-testing
  • Should have good understanding of regulations such as BASEL 2/2.5/3, Dodd Frank Act. CCAR etc and its implication for banks
  • Good Analytical/Numerical experience demonstrated by cutting edge quantitative/statistical
  • analysis projects and experience with statistical packages such as MATLAB/SAS/R will be a plus
  • Excellent communication skills, both written and oral