Specialist: Quantitative Analyst
Core
Develop and implement quantitative analytics, planning, and service delivery processes for product development, specifically focusing on IFRS9 and Regulatory Capital models.
Role type
Quantitative Analyst (Model Development)
Builds
IFRS9 and Regulatory Capital models
Domain
Banking / Financial Risk
Deliverable
production ML models
Required skills
SAS programming, statistical analysis, model development, macro-economic forecasting, model documentation, model governance, impact analysis
Preferred skills
IFRS9 knowledge, regulatory capital modeling, stakeholder management
Technologies
SAS
Responsibilities
Develop IFRS9 and/or Regulatory Capital models in-house; enhance and refresh existing models; update models to reflect forecasted macro-economic factors; test model build data quality; produce detailed model build documentation; assist model implementation team with technical questions and testing; ensure compliance with model risk governance processes; engage stakeholders including model users, validation teams, and regulators; perform impact analysis on model updates.
