Job Posting for CCAR & Quant at SOHO Square Solutions
QUANT CCAR
The Basel group is responsible for developing Probability of Default and Loss Given Default models used to compute the required regulatory capital through the Supervisory Formula Approach and for CCAR. The securitizations modelled are backed by a variety of consumer debt (e.g. auto loans, credit cards and student loans). The models are based on a statistical analysis of historical data.The Multi - Asset Quantitative Analysis Basel Team is looking for quantitative analyst to develop and implement models for securitizations.
Required Skills and Qualifications:
A BSc/BA in statistics, physics, mathematics, or computer science is preferred
Experience in Matlab, SQL and VBA
Experience in data processing including verifying the validity of data values
A minimum of 3 years working experience as a quantitative analyst
Strong analytical, quantitative, statistical and communication skills
Strong programing skills with an emphasis on writing clear, concise and maintainable code.
Key responsibilities:
Develop new models to cover new asset classes or data structures
Running models on a monthly basis
Review and document model performance
Interacting with the business to understand data and explain model methodology
Be the senior team member and take a leading role in the project management
The work will considerable interaction with Traders, Risk, and Technology, and offers an excellent environment in which to work alongside top professionals across these disciplines to get a broad understanding of the Markets business
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