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 Level Entry level Employment Type Full-time Job Function Finance and Sales Industries Banking J-18808-Ljbffr