Project Description

We are looking for a Risk Business analyst translating Risk business requirements into core banking and Global Markets system data points.

They would also be working with ALM and Capital management business teams to rationalize Risk reporting systems' reported numbers with the Bank's Financial Balance sheet.

Responsibilities

Senior Quantitative Risk Analyst

• Back testing of existing modules : EAD/LGD for large corporate portfolio.
• Lead the TRIM project (targeted review of internal modules) for European central bank inspection:
• analysis of European central bank findings
• answering the ECB recommendation with respect to action plan
• Key point of contact for validation and general inspection teams recommendations.

Overhaul/redesign of IRB credit risk parameter (EAD/LGD/ PD) under Basel IV requirements.

• Project framework and scoping (regulatory requirements definition, timeline setup, etc)
• Preparation of referential data set: Data missing/ data treatment and cleansing.
• Development/ calibration of EAD model for Large corporate portfolio including specialized lending and LCD on corporate uncensored parimeter
• Statistical modelling and risk differentiation.
• risk quantification (calibration, calculation of margins of conservation, downturn effect)
• development of challenger models using machine learning tools (Randon forest)
• ensuring the parameter consistency (PD, LCD, CCF) in terms of scope coherence and regulatory requirements,
• Elaboration of back testing procedure.
• Preparation of file submission to ECB.
• ICAAP: Elaboration of the concentration risk module. (Nominal, sectorial and geographical)
• Results presentation to top management and industry experts (storytelling, PowerPoint)
• management of 3 FTE on different scopes simultaneously.

Skills

Must have

Skills

• Programming language: SQL, SaS, R, Python, SPSS, MS Office
• Statical Skills: Linear models (eg Regression, logistics regression, etc), Time series classification; panel models.
• IRB credit risk parameter (EAD/LGD/ PD) under Basel IV requirements.
• ICAAP (Internal Capital Adequacy Assessment Process (ICAAP)
• Loss given default (LGD), probability of default (PD), and exposure at default (EAD)

Nice to have

Candidates with professional certification such as CFA, FRM or CQF would be preferred. **

Languages**

English: C1 Advanced