Quantitative Credit Risk Consultant Milano

Quantitative Credit Risk Consultant
Milano
Lombardia, Milano

iason is an international firm that consults Financial Institutions on Risk Management.

iason is a leader in quantitative analysis and advanced risk methodology, offering a unique mix of know-how and expertise on the pricing of complex financial products and the management of financial, credit and liquidity risks. In addition, iason provides a suite of essential solutions to meet the fundamental needs of Financial Institutions. As a Quantitative Credit Risk Consultant, you will be involved in model development and validation projects within the Credit Risk Departments of international banking institutions.

Activities require extensive experience in developing AIRB model (PD/LGD).

Job Description: Main Tasks: Develop/validate statistical models for the main credit risk parameters (PD/LGD/EAD) both for regulatory (IRB) and managerial purposes (e. g.

IFRS9, stress test);Produce and maintain readable code in the main statistical software (SAS/R/Stata/Python);Data and Model Governance during the development and implementation phases;Support in the performance of Stress-Test exercises (EBA, ICAAP, . . . );Collaborate to the realization of Iason's development projects and research. Analytical and Technical Requirements: MSc in Mathematics, Physics, Mathematical Engineering, Statistics or Economics;At least 1 year of experience in Credit Risk Modelling;Deep knowledge of the main concepts of Credit Risk (PD, LGD, Internal Rating approaches, Satellite Models);Knowledge of the Risk Management and Internal Validation framework and processes within the Significant Institutions (SIs);Knowledge of banking systems and processes usually involved in Risk Management and Internal Validation framework (e. g.

RAF, ICAAP/ILAAP);Fluent English (written and spoken);Good math and statistics foundations, especially in econometrics, macroeconomics and basic calculus;Deep knowledge of the main programming codes (in particular SAS and R, the knowledge of Python and Stata will be considered a plus);Be able to perform well under huge pressure and to meet deadlines;Be proactive and very detail-oriented;Analytical mindset and well-organized approach to problem-solving. Seniority LevelEntry level

Employment TypeFull-time

Job FunctionFinance and Sales

IndustriesBanking

#J-18808-Ljbffr