Quantitative Strategist Specialist, VP
Core
Design and develop financial algorithms for regulatory risk measures including credit risk weighted assets, leverage ratio, expected credit losses, and economic capital.
Role type
Senior IC quantitative strategist (regulatory capital)
Builds
Financial algorithms and regulatory reporting solutions for credit risk
Domain
Banking / Regulatory Capital / Credit Risk
Deliverable
production ML models
Required skills
Algorithmic design, Business programming, Technical build, Change governance, Sophisticated data analysis
Preferred skills
Basel 4 / CRR3 frameworks, FINREP / COREP / Pillar 3 reporting, US and European regulations, AI tools
Technologies
SAS, R, SQL, Python
Responsibilities
Translate capital regime regulations into strategic calculations, design and write algorithms in bespoke business language, partner with technology departments for technical build and testing, run algorithmic book of work in Agile environment, provide ad hoc analytic services for regulatory impact studies
Seniority
VP, hands-on IC