Senior Analyst, Quantitative Analysis

3 days ago


hong kong, Hong Kong SAR China Bank of Communications Co., Ltd. London Branch Full time

Overview Senior Analyst, Quantitative Analysis at Bank of Communications Co., Ltd. London Branch Responsibilities Validate and monitor IRB PD model for exposure to bank, corporate and retail. Implement IFRS9 PD/LGD/EAD model for impairment calculation. Stress testing for credit risk, counterparty credit risk, concentration risk, ICAAP and Recovery Plan according to Bank’s risk appetite. Qualifications Degree holder or above with major in Mathematics, Statistics, Financial Engineering or related disciplines, with FRM or CFA qualification is an advantage Minimum 3 years’ relevant experience in banking or financial sector, with extensive and intensive knowledge on Basel and credit risk models Analytical experience on Basel modeling (PD, LGD, EAD etc) In-depth knowledge and understanding of statistical aspects (especially these which are used in Credit Risk-Basel modelling): Logistic Regression, PCA, Scorecard development; KS- statistics; Reject inference techniques; Data sampling and time series modelling approaches. Strong computing and programming skill such as SAS, VBA and Matlab is a must. Seniority Mid-Senior level Employment type Full-time Job function Finance Industries Banking and Investment Banking #J-18808-Ljbffr



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