Job Summary
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* We are seeking a seasoned professional to lead the development of credit risk models and perform data analysis.
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Key Responsibilities
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* Perform quality control on data introduced in RFO Master;
* Adjust RFO Master according to a specific process and in coordination with stakeholders;
* Reconcile during fast-close production with accounting department;
* Compute Credit Risk Weighted Assets (RWA) based on Basel III framework, used for capital adequacy ratio (pillar I);
* Produce Expected Credit Losses (ECL) according to IRFS9 standards;
* Report internally regarding data quality and RWA/ECL evolution;
* Conduct RWA and ECL simulations;
* Act as expert regarding RWA and ECL subjects for the Bank in coordination with Risk Management department;
* Ensure ECL/RWA computation process meet deadlines;
* Gather and plan tasks among team and exchange calendar with stakeholders;
* Anticipate end-of-quarter points to be addressed/solved/improved;
* Close collaboration with data owners/IT teams/stakeholders;
* Monitor data quality, address each issue discovered at each step to adequate contact, and implement action plan to solve issue via correction in "roadbook" to ensure RWA and ECL correctness;
* Perform analysis and explanations on quarterly RWA and ECL variations;
* Act as expert on ECL and RWA calculation in the Bank;
* Improve IT controls framework continuously;
* Understand data transformation flows (run/push/push backs);
* Participate actively in testing programs;
* Provide RWA and ECL simulations for all business lines;
* Perform ad-hoc analyses.
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Requirements
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* At least five years of higher education/master (BAC+4/5/) in Finance/Business Administration;
* A banking/audit experience of at least three years in Risk Management, Finance or Audit;
* Knowledge CRR2 and/or IFRS 9;
* Appetite for coding and tinkering with data in software;
* Knowledge of Moody's Risk Authority tool (RAY), DataIku, Python, SQL;
* Strong communication and interpersonal skills;
* Team spirit;
* Curiosity, willingness to learn and share knowledge;
* Problem-solving skills;
* Positive and constructive attitude;
* Time management: prioritization, effective planning;
* Ownership and willingness to become expert of data used in ECL/RWA calculation;
* Client-oriented mindset;
* Risk Management Certification will be considered as an advantage;
* Fluent in French and English.