Quantitative Risk Analyst (Market and Credit Risk)
Tasks
- Assess creditworthiness
- Compute SVaR
- Compute VaR
- Conduct statistical sampling and analysis
- Design and validate quantitative models
- Ensure alignment with EU prudential regulation
- Integrate ESG risk factors
- Perform collateral valuations
- Perform stress testing
- Prepare reports and presentations
- Review Fair Value exposures
- Review credit files
- Support CRR and CRD IV compliance
- Support IFRS 9 implementation
Perks/Benefits
- Coaching and counseling
- Corporate sports teams
- Employee discounts
- Extra days off
- Fully funded training
- Hybrid work
- Insurance program
- Volunteering days
Skills/Tech-stack
At risk | Collateral valuation | Credit Risk | Data Management | ESG risk | Excel | Fair Value | IFRS 9 | IRB models | MS Office | Market Risk | Model Validation | Python | SVAR | Statistical Analysis | Statistical Sampling | Stress Testing | VAR | Value-at-Risk
Education
Bachelor of Engineering | Bachelor of Science | Master of Science
Roles
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