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Job Title: Quantitative Analyst

Role Description
The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:
Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients
Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements

Qualifications
B.Sc/MBA in Mathematics or Actuarial Science

Relevant working experience
2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
Basel II/III capital requirement calculations under Advanced IRB approach
Banking/Insurance
IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
Modeling savvy:
Using mathematical sense to model under different scenarios
Model validation etc.

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