Credit Risk Modeller – Leading Belgian Bank
My client is a bank in Brussels with a leading Quantitative Credit Risk Team. This is an excellent opportunity to join an agile, forward thinking team that is embarking on a wave of exciting new projects.
Main Duties And Responsibilities
⦁ Develop, implement and maintain all the models related to credit risk quantification
⦁ Implementation of minimum requirements regarding own funds calculation (Basel III – Pillar 1 IRB approach)
⦁ Validation of economic capital required for the management of the own funds adequacy (Basel III – Pillar 2)
⦁ Improvement of the performance of existing models, taking into account regulatory changes and portfolio evolution
⦁ Able to rebuild the model offline or to recompute figures for the purpose of validation outputs
⦁ Monitoring of internal models performance via Backtesting and Benchmarking exercises
⦁ Technical model documentation
⦁ Communicate with the key stakeholders
⦁ Regulatory and internal project contribution, especially in the context of regulatory change or implementation
⦁ Helping developing new models in all risk areas
The ideal individual will have previous experience building credit risk models, including knowledge of regulation, estimation and validation techniques relevant to compliance with both IFRS9 and IRB. Strong problem solving and advanced SAS skills are a must. Any additional skills in Python or R will be a bonus. Quantitative university education will be required.
# credit risk modeller credit risk quant brussels
|Base Salary||€ Highly Competitive|