Wholesale Credit Reserves & Loss Modelling - Quantitative Analyst
Core
Build and implement wholesale expected credit loss models and stress testing frameworks for regulatory capital adequacy and reserves calculation.
Role type
Quantitative Analyst (Risk Modeling)
Builds
Statistical models for IFRS9/CECL reserves and regulatory stress tests (ICAAP, CCAR)
Domain
Banking / Financial Risk Management
Deliverable
production ML models
Required skills
Python, statistical analysis, regression models, quantitative financial modeling, IFRS9/CECL knowledge, stress testing methodology
Preferred skills
Wholesale credit products knowledge, Linux, PD/LGD/EAD modeling, banking stress testing frameworks
Technologies
Python, Linux
Responsibilities
Research, develop, and test wholesale expected credit loss models; Implement loss models in internal Python library; Prepare quantitative modeling for senior management; Synthesize and communicate complex risk results; Conduct statistical analysis and model risk controls.