Description
Leading global bank is looking for a Wholesale Credit - Models PD, LGD and EAD Quant Analyst who will enable the bank to meet its requirements to calculate impairment allowance under new IFRS 9 accounting standards. This will include calculating new price for customers, taking into account increased impairment allowance.
Responsibilities:
- Specification of new modelling approaches needed for IFRS 9 calculations.
- Support Group Risk functions as needed to design and implement IFRS 9 modelling.
- Liase with regulatory PD, EAD, LGD model owners, Finance, Risk Systems and IT.
Requirements:
- Extensive knowledge of Wholesale credit products.
- Strong knowledge of PD, LGD and EAD modelling.
- Some knowledge o9f impairment assessment approaches and IFRS 9.
- Strong academic background in a statistical, quantitative field.
- Experience of Basel2 implementation.