The Quantitative Backtesting Analyst is a vital role in our organization's mission to assess the performance of internal rating models on Basel credit risk parameters. The analyst will contribute to the development and maintenance of the Model Performance Assessment methodology, or work on other projects within the team's responsibility.
About The Job
* The primary mission of the Quantitative Backtesting Analyst is to develop and maintain the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF), or contribute to other studies and projects within team's responsibility.
Your Main Responsibilities Include:
* Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation
* Contribute to the production of the backtesting ECB Templates
* Participate in transversal projects related to credit risk models performance assessment
* Validate and control LGD spreadsheets
* Enhance existing tools and processes for improved efficiency
* Ensure robust permanent control frameworks for timely delivery of reliable and consistent backtesting results
* Identify lack of model performance using statistics defined in the back-testing methodology
* Analyze and document results, performing deep dive analyses based on good understanding of the risk models and strong collaboration with risk modelling and risk management teams
* Communicate results to relevant internal teams such as model validation team and capital team
Required Skills And Qualifications
* Bachelor Degree in Mathematics / Statistics or related fields
* Up to 2 years of experience in Risk and Controls or similar roles
* Advanced level of English, both written and oral
* Proficiency in MS Office Excel
* Ability to deliver results driven outputs
* Collaborative mindset and teamwork skills
* Process development and adaptation capabilities
* Strong analytical abilities
* Effective communication skills, both written and oral
* Problem solving skills