Senior Credit Risk Modeling Analyst

Education:

A university/ master degree in a quantitative / finance field

Desired skills & experience:

· Solid understanding of credit risk measurement techniques, demonstrated by relevant experience (minimum 2 years)

· Understanding the details of IFRS9 provisioning and capital allocation requirements

· Inferential Statistics, Probabilistic models, Regression, Markov Processes

· Exploratory Data analysis

· Computer programmig skills: SAS, R, Python, SQL

· Language skills: English

Other competencies:

· Analytical thinking

· Capacity to assimilate complex information in a short amount of time

· Results oriented

· Self-motivated and highly organised

· Comfortable with first time application of quantitative techniques under limited guidelines

Profil

Main responsibilities:

· Development of credit scoring models for Retail / Non-Retail

· Development of IFRS9 models (PD, LGD, EAD)

· ECL, ICAAP and Stress Test calculation support

· Model implementation, maintenance, documentation and performance assessment

· Respond to ad-hoc analysis requests in a timely manner, demonstrating clear understanding of credit risk specific measurements

· Liaise with other risk functions for supporting provisioning, reporting and credit risk assessment processes

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