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Economic Capital Modelling
Employer undisclosedRole managed by a recruiter
Develop and maintain economic capital models, run simulations, and support risk analytics.
Develop and update proprietary credit loss forecasting models (PD, LGD, EAD) and support stress testing aligned with macroeconomic scenarios.
Collaborate with global stakeholders across regions to align on credit risk modelling frameworks and portfolio quality assessment.
Enhance model production processes through automation, peer code reviews, and best coding practices using R, Python, and Git / Bitbucket.
Contribute to the design and implementation of credit risk appetite and concentration frameworks, linking them to business and capital strategies.
Support global and regional Economic Capital production processes, running and maintaining monthly simulations using tools such as Moody’s Risk Frontier.
Assist in standardizing Economic Capital modelling parameters across regions, including PD / LGD correlations and systematic risk quantification.
What you bring
python
git
monte carlo
machine learning
bachelor's
communication
Hands-on experience with data analytics tools such as Python, R, and Pandas; experience managing production-level code using Git / Bitbucket.
Knowledge of Monte Carlo simulations, credit loss forecasting, and stress testing techniques.
Bachelor’s degree in a quantitative discipline with 5 – 7 years of experience in credit analytics, risk modelling, or related quantitative functions.
Understanding of machine learning and statistical modelling techniques, including regression, multivariate analysis, and predictive analytics.
Excellent communication and stakeholder management skills.
Exposure to credit portfolio management, concentration risk assessment, and risk appetite frameworks.
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