3 months ago
Our client, an international bank is looking for an experienced quantitative analyst with experience in developing credit risk economic capital models.
The team is responsible for the development and maintenance of bank-wide models for credit economic capital and operational risk, as well as bank-wide one-off projects related to credit models.
You Have The Opportunity To
- You will take responsibility for developing a bank-wide methodology based on best practices, academic research, and extensive analysis of the model-related regulatory frameworks, with applications in credit risk. This includes the frameworks for model testing and model acceptance
- Together with your colleagues, you will play a crucial role in enabling the development and maintenance of models, as well as guiding and advising model development colleagues, providing content support to model development teams, and explaining methodologies and results to stakeholders.
- You will participate in the maintenance Credit Risk Economic Capital model(s) as well as the operational risk model, including the (re)development, calibration and monitoring of these models
- You will support in delivering structural improvements in the data delivery process by e.g. improving the methodology for calculating derived data fields
- You will collect and set detailed requirements for data delivering stakeholders, including data quality requirements
- You contribute to and support the development and testing of automation tooling for model data quality assessment, model development and model monitoring
What Is Needed In This Role
- You are keen on having consistent and aligned approaches for model development and model maintenance
- MSc degree or Ph.D. in mathematics, econometrics, physics or similar
- Excellent knowledge of applied statistics and/or mathematics, for instance in the fields of multifactor modeling, GLMM, Bayesian Statistics, Importance Sampling Techniques
- At least three years of experience with the development of relevant risk models, being credit economic capital, IFRS9, and IRB models
- Knowledge of the processes around the model life cycle such as governance and (central) data gathering, data modeling, data processing as well as data quality controls
- Extensive knowledge of the regulations around the relevant models
- Advanced knowledge of programming, preferably in SAS, SQL, Python, R
- Knowledge of banking and financial industry, financial and lending products, and processes
- Experience in being a sparring partner/advisor to senior management
- You have strong analytical and problem-solving execution skills