Credit Risk Quant

1 giorno fa

Milano, Italia iason A tempo pieno

iason is an international firm that consults Financial Institutions on Risk Management. iason is a leader in quantitative analysis and advanced risk methodology, offering a unique mix of know-how and expertise on the pricing of complex financial products and the management of financial, credit and liquidity risks. In addition iason provides a suite of essential solutions to meet the fundamental needs of Financial Institutions . We are looking for a Credit Risk Quant to join our team As a Credit Risk Quant you will be part of a high-profile iason team in the activity of model development and implementation within the Credit Risk Departments of an international financial institution. Main Tasks Development and validation of Pillar I (PD, LGD, EAD) and Pillar II (Credit Portfolio model) Credit Risk models; Development of statistical models to analyze macro-economic variables and forecast time series (satellite model); Ad hoc quantitative analysis on credit risk issues Produce and maintain readable code in the main statistical software (Stata/ SAS); Data and Model Governance during the development and implementation phases; Support in the performance of Stress-Test exercises (EBA, ICAAP,...); Collaborate to the realization of Iason’s development projects and research. Analytical and Technical Requirements MSc in Economics, Mathematics, Physics, Mathematical Engineering, Statistics or other quantitative courses; Good math and statistics foundations, especially in econometrics, macroeconomics and basic calculus; Programming skills: Knowledge of at least one of the following: SAS, Stata, Python, R; At least 6 months of experience in development of Credit Risk models (Pillar I, Pillar II and/or IFRS9); Basic knowledge of the regulatory framework for credit risk (CRR, EBA guidelines on PD/LGD, ECB guide to internal models, EBA RTS and IFRS9 framework); Fluent English; Be proactive and very detail-oriented; Analytical mindset and well-organized approach to problem-solving.

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