Wholesale Credit Reserves & Loss Modelling - Quantitative Analyst

About the role

A quantitative analyst focused on wholesale credit reserves and loss modelling, developing and maintaining models used in credit loss estimation under CECL and IFRS 9.

Requirements

• Master's degree or PhD in Statistics, Mathematics, Econometrics, Finance, or a related quantitative field

• 3 to 5 years of experience in credit risk modelling or quantitative analysis

• Strong programming skills in SAS, Python, R, or similar tools

• Knowledge of CECL, IFRS 9, and credit risk modelling frameworks

• Excellent analytical and problem-solving abilities

Responsibilities

1. 1

   Develop, validate, and maintain credit loss models for wholesale portfolios

2. 2

   Perform quantitative analysis of credit performance data and macroeconomic scenarios

3. 3

   Support CECL and IFRS 9 reserve calculations and reporting

4. 4

   Prepare model documentation, back-testing, and sensitivity analysis

5. 5

   Collaborate with risk management, finance, and audit teams on model governance