Senior Quantitative Analyst
At our organization, we are seeking a highly skilled Senior Quantitative Analyst to join our team.
As a Senior Quantitative Analyst, you will be responsible for developing and maintaining credit risk quantification models in alignment with IFRS9 Expected Credit Loss requirements.
You will design, implement, document, and maintain these models to ensure they are accurate and reliable.
The role also involves producing modelled ECLs and overlays, providing analyses to different departments within the bank, and providing input to key reports.
Additionally, you will conduct credit risk stress testing for the Internal Capital Adequacy Assessment Process (ICAAP) and participate in EU-wide Stress Testing initiatives.
Develop and improve Stress Testing models used to forecast BIL Group key risk indicators, perform comprehensive macroeconomic analyses to support stress testing and projection processes within the bank, and assist in designing custom scenarios used for various purposes.
Ensure that all models are developed, maintained, and regularly tested in accordance with internal procedures and standards, follow regulatory updates to ensure that models are aligned with current requirements and foresee future enhancements.
Maintain all aspects of the models in a professional manner and ensure thorough documentation is completed for all processes.
The ideal candidate has a Master's degree in mathematics/actuarial science/finance/statistics/economics and advanced knowledge of IFRS9 requirements and financial instruments.
We offer a range of challenging projects and career paths, prioritize personal development and encourage diversity & inclusion.
* Mathematics, statistics, modelling, economics, computer science, data analysis, risk, finance, programming skills in Python.