Senior Quantitative Analyst

Job Description

A Financial Services company are looking to employ a Senior Quantitative Analyst within the Credit Management Division. This role is responsible for developing, implementing, monitoring, and supporting quantitative credit models within the Credit Management department with a focus on IFRS9 modelling

Requirements :

• A MSc / PhD Degree in an analytical degree or equivalent is preferred
• At least four years’ experience in IFRS9 model building
• Must have experience with SAS, SQL and excel
• Must have previous experience in the developing statistical models on various retail portfolios. This includes IFRS 9 expected loss models, impairment LGD and PD models for all retail portfolios, origination scorecards, fraud scorecards, collection scorecards, behaviour risk models and other risk management models for the retail portfolio
• Conducting ad hoc analysis on IFRS 9 PD, EAD, LGD, as well as overall impairment calculations
• Strong programming skills are required using SAS, SQL, VBA and MS Excel
• Must be able to utilise techniques such as survival analysis, proportional hazards, and macroeconomic regression modelling