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 impai...