Senior Quantitative Analyst

Job Description

A Financial Services company are looking to employ a Senior Quantitative Analyst within the Credit Management Division. This role is responsible for developing, implementing, monitoring, and supporting quantitative credit models within the Credit Management department with a focus on IFRS9 modelling

Requirements:

• A MSc/PhD Degree in an analytical degree or equivalent is preferred

• At least four years’ experience in IFRS9 model building

• Must have experience with SAS, SQL and excel

• Must have previous experience in the developing statistical models on various retail portfolios. This includes IFRS 9 expected loss models, impairment LGD and PD models for all retail portfolios, origination scorecards, fraud scorecards, collection scorecards, behaviour risk models and other risk management models for the retail portfolio

• Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD, as well as overall impairment calculations

• Strong programming skills are required using SAS, SQL, VBA and MS Excel

• Must be able to utilise techniques such as survival analysis, proportional hazards, and macroeconomic regression modelling

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