15 May

Quantitative Analyst Credit Risk Modeller Vacature bij Albert Cliff Ltd Amsterdam

Functietitel
Quantitative Analyst Credit Risk Modeller
Bedrijf
Albert Cliff Ltd
Locatie
Amsterdam NH
Openingsdatum
15 May, 2018 9 days ago

Albert Cliff Ltd Amsterdam met spoed nodig onderstaande werk positie als de Quantitative Analyst Credit Risk Modeller. Lees deze personeelsadvertentie zorgvuldig alvorens het aanbrengen van. Er zijn enkele kwalificaties, ervaringen en vaardigheden eisen dat de werkgevers nodig hebben. Doet je carrière geschiedenis passen deze eisen? Ervoor begrijpen dat u de rol die je solliciteert en dat zorg ervoor dat het geschikt is met uw vaardigheden en kwalificaties te.

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Quantitative Analyst Credit Risk Modeller Vacature bij Albert Cliff Ltd Amsterdam Vacatures Detail:

For this role please contact Xana Melnikaite at xana.melnikaite@albertcliff.com or call +44 (0) 7432 712 947​ . Also, please visit our website at www.albertcliff.com to see all our latest vacancies.

Main objectives of the position :
The position is located within the Modeling unit which has as objective to:
1) Develop and maintain all the models related to the credit risk quantification implemented by the Bank in the context of:

  • The implementation of minimum requirements regarding the own funds calculation (Basel 3 Requirements – Pillar 1 A-IRB approach),
  • The computation of the economic capital required for the management of the own funds adequacy (Basel 3 Requirements – Pillar 2),
  • General and specific provisions calculation according to IFRS9 standard,
2) Manage and ensure the consistency of the internal rating system integration within the credit risk management process and policies of the Bank.

Key responsibilities :
1) Implementation and maintenance of internal database required in the context of credit risk model development/maintenance:
  • Define and manage business requirements of data flow regarding data used in credit risk quantification.
  • Implement data quality processes and reports in order to monitor data consistency and quality.
  • Manage data correction and data improvement requests.
2) Quantification of credit risk parameters involved in the context of the regulatory minimum capital requirements calculation (regulatory requirements based on the CRD IV – Pillar 1, A-IRB):
  • Develop and maintain risk parameters quantification models and the related internal rating system (IRS) involved in the capital requirement calculation, according to the regulatory minimum requirements and standards, and their consistency with the internal credit risk processes and policies.
  • Monitor of the internal model performance through regular Backtesting and Benchmarking exercises, and implementation of appropriate actions in order to maintain the required level of model performance.
  • Manage the homologation process of the models involving the supervisory authorities (CSSF / ECB), the validation unit and the internal audit.
  • Manage the implementation and the dissemination of the A-IRB model within the internal system and process of the Bank.
  • Perform annual regulatory stress test and communication to the senior management of the results.
3) Quantification of credit risk parameters involved in the context of the calculation of general and specific provisioning according to IAS39 and IFRS9.
  • Develop and maintain risk parameters quantification models and the related internal rating system (IRS) involved in the impairment calculation in compliance with e IAS39 and IFRS9 standards.
  • Monitor the internal model performance through regular Backtesting and Benchmarking exercises, and implementation of appropriate actions in order to maintain the required level of model performance.
  • Manage and ensure the correct implementation of these models within the internal system.
4) Credit risk quantification in the context of the economic capital assessment (Capital Adequacy)
  • Quantification and periodic review of the risk parameters involved in the calculation of the economic capital of the Bank.
  • On an ad-hoc basis, contribution to the ICAAP process (ICAAP Report, ECAP, stress testing …).
5) Designing, implementation and maintenance of the internal model governance.
6) Business Integration
  • Ensure and facilitate the integration of the risk parameter assessment and the related tools within the credit risk management process, at the middle office level (provisioning, RWA calculation, risk reports) and at the front office level (credit granting).
  • Collect and manage internal requests (Credit risk, Marketing, Front Office) regarding credit risk model development or improvement.
7) Regulatory and internal project contribution, especially in the context of regulatory change or implementation (CRR, RTS, IFRS …). Required profile :
  • University degree in quantitative discipline (Statistics, Mathematics, Econometry, Engineering …).
  • A significant experience in the area of risk modeling, especially in credit risk.
  • Knowledge of the banking and financial industry, and of the credit products and processes.
  • Sound knowledge of regulatory requirements, especially regarding CRD, CRR and IFRS9.
  • Knowledge of data management and computational softwares such as SAS, SQL, Matlab, R ..
  • Fluent in English.


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