Senior Quantitative Analyst - Pillar 2 Models (M/F)
Tasks
- Build and maintain RAROC tool
- Conduct stress testing model development
- Deploy and monitor economic capital framework
- Design and maintain credit risk models
- Design and maintain market risk models
- Develop and implement Pillar 2 risk models
- Develop quantitative tools for risk management
- Ensure ICAAP and ILAAP model compliance
- Ensure compliance with data quality framework
- Forecast net interest income and credit risk losses
- Produce regular reporting for economic capital and stress tests
- Provide quantitative advisory
- Validate risk models
Perks/Benefits
- N/A
Skills/Tech-stack
Credit Risk | Data Quality | Dataiku | Economic Capital | Git | ICAAP | ILAAP | IRRBB | Income Forecasting | Interest income | MS Excel | Market Risk | Net Interest Income Forecasting | Net interest income | Python | RAROC | SQL | Stress Testing
Education
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