*REQUIREMENT** - SAS - Credit Risk Modelling and Basel II*
In this Email, we Knows the Basel II model and how it relates to the Merton model. We analyse the capital formula, its shape and the influence of probability of default (PD) and loss given default (LGD). Finally, we discuss two of the main assumptions in the Basel II model: the 20% assumption for the asset correlation (January 2001 proposal), and the one factor assumption. We give some empirical estimations for the former, and, regarding the latter, which could give conservative capital requirements, we show some results using a two-factor model. It is our belief that the latest Basel II modification, which uses different asset correlations depending on PDs, may be a practical way of reducing the problems inherent in the one-factor approach. *IMMEDIATE CLOSURE : REQUIREMENTS BELOW* * * *Title :** SAS Basel II Risk * *Location:** Columbus, OH* *Technologies:** BASEL II* *No. of positions:** (2)* *Project Starting Date** : Jan Middle 2010 * *Duration:** 3-6 Months* *Rate :** Open* *TECHNICAL REQUIREMENTS :* *INFORMATION ABOUT** SAS – BASEL II – (NOT A JOB DESCRIPTION)* http://www.valuebasedmanagement.net/methods_raroc.html http://www3.imperial.ac.uk/mathsinstitute/programmes/research/bankfin/qfrmc/events/past/basel2 http://ideas.repec.org/p/hhs/rbnkwp/0142.html http://www.garpdigitallibrary.org/display/product.asp?pid=1062 http://www.algorithmics.com/EN/media/pdfs/Algo-RA0302-ARQ-CreditRiskModelling.pdf http://www.amazon.com/Basel-Risk-Parameters-Estimation-Validation/dp/3540330852 http://www.bis.org/publ/bcbs148.pdf http://www.bis.org/bcbs/index.htm *REQUIREMENT 1:* *SAS - Basel II resources* * * *RESPONSIBILITIES: *The incumbent for this position is responsible for the development and validation of statistical risk measurement and prediction models for Chase Home Lending. Specifically the incumbent may be asked to o Extract, prepare and analyze data o Build and validate default and loss severity segmentation models used to forecast credit capital requirements on mortgage and home equity products. o Document and communicate model results and insights to senior staff in Chase Home Lending and Corporate Risk Management. * * *EDUCATION:* The incumbent should have a minimum of a Master’s degree in a field that provides a strong background in statistical methods such as Statistics or Economics. *QUALIFICATIONS:* o The incumbent must have a minimum of 2 years experience in the development, use, and validation of statistical models for measuring risk within financial institutions. o He/she should be experienced in the estimation and validation of logistic regression models and decision trees. o He/she should be expert in the use of software for data handling and model development, including SAS. o The incumbent should posses an understanding of the risk management practices of consumer lenders, with a preference related to Basel II initiatives. o He/she should be able to handle projects with a minimum of oversight and supervision and should be able to make contributions to the group’s knowledge base by proposing new and valuable ways for approaching problems and projects. o Excellent communication skills are required, as the incumbent will frequently be called upon to make presentations to senior management and to write documents that describe work products in a clear manner. Send me if you have Good Consultants for the above positions Send me their contact number & email ID So that i will move further. *Warm Thanks & Regards, * *Prakash* Techstar Consulting Inc "Certified Woman Owned Minority Business Enterprise (WMBE)" *1300 West Walnut Hill Lane**, *** *Suite** 252**, Irving, TX 75038 *** *Direct: 972 -999-1612 * *Fax: (214) 292 8874 *** *E-mail: **prak...@techstaremail.com* <prak...@techstaremail.com>* * *www.techstarcinc.com* <http://www.techstarcinc.com/>* *** *GTalk IM:* zcontactme...@gmail.com ** *Yahoo IM:* bhanustaff...@yahoo.com ** *If you are Unable to reach me on Phone, Pls Contact through email.* * * *Disclaimer:* We respect your online privacy. If you don't want to receive our emails, please reply this Email with a subject line "*REMOVE*" and Please include all your email ids and any diverting email ids To your email to be removed. According to law, this mail is not considered as spam as long as we have Contact information and remove option in this email. Our emails are virus scanned and it is also recipient Responsibility to check virus for our emails. We are sorry for any inconvenience.--
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