Credit Risk Analyst

Responsibilities:

• Build and validate a variety of statistical credit models as well as updates of validation documents.
• Ongoing maintenance of the IT-implementation of risk models in the group's rating platform application and testing of new releases
• Liaise with other departments to ensure consistent application of models
• Provide PD and LGD credit risk model support and expertise to IFRS 9 project
• Assist in calculation of economic capital and capital adequacy
• Assist in stress testing within the economic capital framework
• Work with various databases retrieving data and assessing data quality
• Maintenance and review of technical documentation and procedure documents

Requirements:

EDUCATION:

• University degree in Statistics, Physics, Economics, Finance, Mathematics, Engineering or comparable

TECHNICAL KNOWLEDGE:

• Strong IT skills in some of the following areas:

- SQL experience in Oracle or MS SQL Server

- MS Excel, MS Access, VBA

- Statistical software (Matlab, SAS, R)

- Experience working with large datasets

- LaTex

- C++

• Knowledge of quantitative methods and concepts used in risk measurement eg regression, variance/covariance, probability distribution and statistical inference
• Familiarity with regulatory capital requirements for financial institutions is an advantage
• Experience with financial risk models and concepts eg VaR, sensitivities, and loss distributions is a plus

LEVEL OF EXPERIENCE/EXPERTISE:

• Experience in the risk function of a financial institution preferred but exceptional graduates considered.
• Proficiency in English and technical report writing
• Experience in the specification and implementation of an internal capital adequacy assessment process is an advantage