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Quant Analyst

Quant Analysis, AIRB, IFRS 9, Stress Testing, Python, SAS, MS Excel/VBA, SQL

Your new role

This role will be responsible for credit risk methodology development within Wholesale Credit Risk GRA team. The focus will be mainly related to supporting stress-testing (ST) and IFRS 9 methodology development. Work related to other areas may also be required.
The role holder will need to develop a good understanding of risk data flows from customer and product systems through to the finance and regulatory reporting systems. They will need to work with finance, business and other risk teams in order to produce portfolio and impact analysis as well as UAT testing. Responsibility also includes implementation support for the proposed credit risk methodology and/or models.

Key Accountabilities

The role holder will have responsibility for:
  • Work with PD, EAD, LGD, scoring models and RWA/ECL calculation frameworks which involves data sourcing, model development, model implementation and support execution.
  • Design impact analyses for the calculation of Risk Weighted Asset (RWA), Expected Loss (EL) and other measures.
  • Develop and test complex programs/dashboards/tools according to business specifications.
  • Liaise with an internal Independent Model Review team during model development, model monitoring and review processes.
  • Support execution periodical IFRS9/ST regulatory exercises, run internal processes, analyse results produced by IFRS9/ST engines.

What you'll need to succeed

Experience:
  • Minimum 5 years of credit risk analysis experience
  • Good exposure to credit model methodologies, data requirement for AIRB, IFRS 9 or stress testing modelling
  • Proven ability to take ownership of and solve complex data related issues
  • Strong database and credit risk systems experience, including coding in Python, SAS, MS Excel/VBA, SQL
  • Good understanding and interpretation of regulatory rules

Skills:
  • Good attention to detail and accuracy
  • Ability to manage complex projects to a tight deadline.
  • Ability to communicate technical concepts effectively
  • Ability to work as part of a team with key customers and stakeholders.
  • Fluency in written and in spoken English
Excellent documentation, presentation, and communication skills

What you'll get in return

  • Long-term job in one of the largest banking and financial services organisations in the world
  • Interesting path of career in an international organisation
  • Language / Studies Reimbursement Scheme
  • Professional training
  • An environment where you will be given space to take ownership and accountability for your work
  • A team of professionals that will help you develop & succeed
  • Employees’ benefits: private medical and dental health care, Multisport Card, life insurance

What you need to do now


If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now.



Hays Poland sp. z o.o. is an employment agency registered in a registry kept by Marshal of the Mazowieckie Voivodeship under the number 361.


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Kliknij tutaj aby uzyskać dostęp do Polityki prywatności HAYS, która zawiera szczegółowe informacje na temat tego, w jaki sposób wykorzystujemy i chronimy twoje dane osobowe oraz Twoje prawa z tym związane.

podsumowanie

Rodzaj pracy
Stała
Branża/Sektor
Bankowość & Usługi Finansowe
Lokalizacja
Warszawa
Obszar specjalizacji
Technology
Nr ref.:
1190084

Skontaktuj się z konsultantem

Skontaktuj się Aleksandra Pacyga, Konsultant odpowiedzialny za tę rekrutację, znajduje się Katowice
Hays, al. Roździeńskiego 1A

Telefon: 885899468

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