Santander Bank, NA Quantitative Risk Manager in Florham Park, New Jersey

Quantitative Risk Manager - 1803474



[POSITION SUMMARY] You will be responsible for hiring and managing a team of quantitative analyst responsible for developing, delivering, signing-off and supporting advanced, regulatory-compliant credit models, including, Probability of Default (PD) and 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 your team members reporting to you and 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. [POSITION DUTIES] Contribute to the overall development and implementation of advances in credit risk methodology generally and specifically related to point-in-time and through-the-cycle PDs, ratings and stress testing.,Keep current with the best practices recommended by the bank regulators,Provide the businesses with transaction advice and support, acting as an expert resource in the fields of risk quantification and modeling, and working closely with other stakeholders both internal and external, such as business areas & regulatory,Research the econometric and financial journal to keep current with the best practices of the PD, LGD and EAD modeling framework,When applicable oversee the model development work done by outside third party vendors,Manage and mentor the reporting senior and junior analyst,Develop, enhance, implement and document Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models for CCAR credit loss forecasting



[QUALIFICATION] Degree in economics, physics, math, finance, statistics or other related field. Numerate, physics, maths, statistical, economics or finance prefd. If PhD then 2 to 3 yrs of working exp; If MA then 7 to 10 years of working exp in Financial Sector [EXPERIENCE] Between 5 - 7 years [SPECIALIZED KNOWLEDGE] Advanced Microsoft Excel skills.Technology skills encompassing spreadsheet and database work. Good working knowledge of advanced statistical SAS,Good working knowledge of Basel II-like concepts and broad understanding of Model Risk Management regulatory requirements. Strong time management skills. Excellent written and verbal communication with a focus on detailed and clear technical writing.,Knowledge of key industry default and loss data from rating Agencies and other vendors.,Some familiarity with understanding of banking and finance in a Corporate Banking/Capital Markets environment.,Strong skills in developing and supporting sophisticated risk models and methodologies. Can-do and creative attitude. Proactive mindset. Good understanding of commercial and retail banking environment.,Strong skills in written model documentation. Team player, prepared to work under pressure close to deadlines.,Strong understanding of point-in-time (PIT) and through-the-cycle (TTC) PD and rating approaches.,Strong understanding of key industry default and loss data from rating Agencies and other vendors.

Job : Risk Management Strategy
Primary Location : New Jersey-Florham Park


Organization : CRO_US (SSY_8855)
Schedule : Full-time
Job Posting : Jun 5, 2018, 8:03:34 PM