Credit Risk Model Developer
5 godzin temu
We are seeking a skilled Quantitative Risk Analyst to join our Wholesale Credit Risk GRA team. As a key member of the team, you will be responsible for supporting stress-testing (ST) and IFRS 9 methodology development, with opportunities to work on other areas as well.
You will work closely with finance, business, and other risk teams to produce portfolio and impact analysis as well as UAT testing. Additionally, you will be responsible for implementation support for proposed credit risk methodology and/or models.
Responsibilities:
- Develop and maintain a strong understanding of risk data flows from customer and product systems through to finance and regulatory reporting systems.
- Work with PD, EAD, LGD, scoring models, and RWA/ECL calculation frameworks, involving data sourcing, model development, implementation, and execution.
- Design and implement impact analyses for the calculation of Risk Weighted Asset (RWA), Expected Loss (EL), and other measures.
- Liaise with an internal Independent Model Review team during model development, monitoring, and review processes.
- Support execution of periodical IFRS9/ST regulatory exercises, run internal processes, analyze results produced by IFRS9/ST engines.
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