Credit Risk Analytics Modelling - Consulting Firm

JOB DESCRIPTION :

- Understanding of credit risk quantification methodologies (credit rating, IRB models etc.) is preferred, including knowledge of capital calculation methodologies under Basel II / III

- Good experience on IFRS 9 Reporting and Modelling

- 3+ years of relevant experience is Banking Book Credit Risk Analytics. This includes, Basel II, III modeling (PD, LGD, EAD), Stress Testing (CCAR, DFAST) modeling for banking book.

- Implementation of credit risk management systems.

- Capacity to think about requirements from a strategic perspective, ability to perform requirement gathering and gap analysis versus the current methodologies to leverage independently.

- Advanced technical skills and programming knowledge(MSOffice, SAS, R, VBA, C++) required