JOE Listings (Job Openings for Economists)
August 1, 2015 - January 31, 2016
Position Title/Short Description
Section: Full-Time Nonacademic
Location: Boston, Massachusetts, UNITED STATES
C1 -- Econometric and Statistical Methods and Methodology: General
E6 -- Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
G00 -- General
Full Text of JOE Listing:
As part of a team you will be responsible for developing, delivering, signing-off and supporting advanced, regulatory-compliant credit models, including Probability of Default (PD), Ratings, Loss Given Default (LGD), Exposure at Default (EAD). From a broader viewpoint the role function and its related responsibilities are key to support the bank's management as well as the regulatory capital/provisions requirements. Also, on a more management oriented side these models constitute the basis for the optimization of economic capital and the management of portfolio risk adjusted performance measures.
The model development resides on high standards using solid conceptual credit risk foundations. Extensive use of advanced statistical techniques is applied to detailed credit data sourced both internally and externally. You will act as an expert resource in the fields of credit risk quantification and modeling, working closely with other stakeholders both internal and external such as business and risk areas, and regulatory authorities.
Work within the Risk Methodology Group to produce all required deliverables to a high standard. Work with the dedicated credit risk systems implementation team to support the roll-out of tactical and strategic implementations of the various credit models. Contribute to methodology-related presentations to model committees, credit officers, model users and regulators.
- Letters of Reference
- Job Market Paper