Senior Credit Risk Model Analyst
- Up to 100,000
- Stockholm, Stockholms, Sweden
- Permanent, Full time
- BSM Associates
- 26 Sep 16
BSM Associates are representing a client who are looking for a Senior Credit Risk Model Analyst.
- You will be part of a dedicated team working with quantitative analysis to manage and develop the FSA approved models for credit risk (Advanced- and Foundation Internal Ratings Based). Ensuring compliance and developing IT and credit risk related capital adequacy models.
- As the firm is approved to model its regulatory capital according to the IRB approach, crucial inputs into the capital assessment are the PD, LGD, CCF and rating models. With regulators being concerned on banks’ capitalization, they are increasing their demands on how the PD, LGD, CCF and rating are modelled. This leads to the need for refinement and improvements of models and data. The GCR Corporate Models team is responsible for managing and developing of the firm’s PD, LGD, CCF and rating models.
- The PD, LGD, CCF and rating models are being built on vast amounts of credit risk data. Working with data and data quality is therefore a natural part of the work. To fully understand the models, an understanding of the processes generating the credit risk data is required. This is done through collaboration with many stakeholders in the firm. In addition, the credit risk models are subject to regulation which requires an understanding of the regulatory landscape.
- Academic degree in mathematics, statistics, engineering or economics with a specialization in a quantitative subject like econometrics.
- Experience in credit risk model development
- Experience in SAS programming and model development using SAS
- Previous experience from working within projects is an advantage
- Basel II/III experience is meriting
- Proficiency in English
- Team spirit
- Interest to learn and develop