
Senior Financial Modeler
23 hours ago
Role Overview:
The Credit Risk Quant Analyst will be responsible for developing and validating models to assess credit risk in the banking and financial services sector.
Main Responsibilities:
- Validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
- Develop advanced statistical models for credit risk assessment.
- Evaluate compliance with regulatory standards such as IFRS 9 and Basel III/IV IRB approaches.
- Perform benchmarking, back testing, and stress testing of credit risk models.
- Analyze loan portfolio performance to provide insights for risk mitigation strategies.
Key Skills and Qualifications:
- Expertise in credit risk modeling techniques and statistical methods.
- Proficiency in programming languages like Python, R, or SAS.
- Knowledge of Basel III/IV credit risk regulations and IFRS 9 standards.
- Advanced degree in Quantitative Finance, Statistics, or Economics.
- Understanding of loan portfolios and retail/commercial banking products.
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