Quantitative Credit Risk Analyst (HA-12298569) Boston, Massachusetts

One of the most respected financial institutions in the world is currently building its full suite of Basel-compliant, statistically-based dual risk rating models that produce Probability of Default, Loss Given Default and Exposure at Default. To that end, we are looking for highly qualified candidate to join as Quantitative Analyst to contribute to this exciting opportunity.

The candidate is responsible for coordinating the development of wholesale or retail credit risk parameters and expected loss models by performing technical analysis, such as writing and running statistical analysis software (SAS/SQL) code/programs, creating  tables and charts, cleaning data, working with the business units to understand the data and review the work of more junior staff members.  There is also an expectation to continually elevate the model development process to a better state through new model approaches.

These models/approaches are used throughout the bank to determine Basel IRB Regulatory Capital, appropriate levels of Economic Capital, appropriate reserves as in Allowance for Loan and Lease Losses (ALLL), and loan pricing levels that are commensurate with the risk inherent in transactions.

Other Responsibilities:

  • Contribute to the development of a comprehensive risk rating framework and infrastructure, lead best practice modeling techniques, ensure comprehensive documentation, and establish models monitoring and outcome analysis.
  • Coordinate the development, maintenance and enhancement of econometric models for various R&D projects, such as macro-economic linkage models and stress testing methodologies.
  • Work on various ad hoc quantitative, modeling, and programming assignments using SAS, Matlab and SQL.

The successful candidate will be someone who can operate effectively in a diverse environment, serving and fulfilling the analytical needs within the banking organization.  He or she will exhibit excellent people and communication skills to leverage the capabilities of the business partners and associates along with the confidence to effectively integrate and achieve accurate and Basel compliant models.  Strong business judgment, communications and analytical skills are essential.


  • 2+ years of progressive experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
  • Masters degree in a quantitative discipline, such as Economics, Finance, and Statistics.  Ph.D. preferred.
  • General business knowledge and familiarity of commercial and retail banking products, operations and credit processes
  • Skilled in credit risk modeling, particularly with respect to Basel II and accounting SFAS 5
  • Strong analytical, econometrical and statistical skills
  • Good organizational and communication (both verbal and written) skills
  • Results driven approach to work

Contact Matthew Gallira with Huxley Associates for more details.