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Risk Model Development Analyst

  • Location:

    Dublin City Centre

  • Contact email:

    nnedevski@sigmar.ie

  • Sector:

    Banking & Finance

  • Contact phone:

    0147446000

  • Job type:

    Full Time

  • Job ref:

    NN0904

  • Salary:

    Negotiable

  • Published:

    24 days ago

  • Contact email:

    nnedevski@sigmar.ie

Job description

Risk Model Development Analyst
Permanent Role
Negotiable DOE
Dublin City Centre

At Sigmar we are currently working with our client based in Dublin City Centre that has a vacancy for a Risk Model Development Analyst. You will be a part of advanced team that values innovation and creativity and this role presents a great opportunity for any analyst who has the capability to approach a business problem in an innovative way, identify and build a great solution.

Duties:

• Development of behavioural models to support business decision making and estimation of regulatory capital
• Performing segmentation analysis and calibration of models
• Defining the standards and methodologies required to deliver these models
• Extracting, transforming, and cleaning the data required for modelling
• Engaging with customer facing Business to understand how models can support their decision making
• Engaging with regulatory bodies as part of the on-going cycle of regulatory review of models

Requirements:

• A bachelor’s degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics
• 3+ years’ experience developing Probability of Default (PD), Loss Given Default (LGD), or Exposure at Default (EAD) models for IRB - equivalent experience in an alternate modelling type would be considered e.g. macroeconomic forecast models, IFRS9 models
• Ideally have Advanced level of SAS or SQL programming – an equivalent level in an alternate programming language would be considered (e.g. R, Python, Matlab)
• Advanced experience in extracting, transforming, and cleaning data for modelling purposes
• Experience writing technical documents that meet internal and regulatory standards
• Experience in engagement with regulatory bodies
• Experience training and managing the day to day tasks of junior team members

If you have the relevant experience and feel this role is for you, please apply now
NNedevski@sigmar.ie
T: +353 1 9619721

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