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Credit Risk Model Management

  • Job type: Permanent
  • Location: Amsterdam
  • Salary: Competitive
  • Job reference: JH33
  • Sector: Banking and Finance, Quantitative Finance, Selby Jennings
  • Date posted: 08/01/2018
Credit Risk Model Management 

A leading European are looking for a Senior Credit Risk Modeler to lead a project based in London. They must have experience developing credit risk models (PD, LGD, EAD). The candidate will need to have exposure to IFRS 9, have excellent communication skills and management experience. 

Responsibilities

  • Work on credit risk model development and validation for models such as PD, LGD, EAD models
  • Work on wholesale portfolio models; exposure to receivables finance portfolio 
  • Work with Credit Risk analytics/quant modelling teams
  • Understand and improve the existing processes to gain efficiency
  • Used tools such as SAS, R, SQL, and Matlab
Experience 
  • 5-7 years of relevant experience
  • Engineering or post-graduate in business/ statistics/ mathematics/ economics/ other quantitative disciplines from top tier institutes.
  • Strong credit risk analytics and model development and validation skills
  • Strong exposure to wholesale portfolios
  • Skills: SAS/SQL, MS Office (Excel, Access, PowerPoint), VBA, R, Matlab
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