Global Banking Institution Multiple long term contract roles
Credit Risk Provisioning (IFRS 9)
Highly attractive day rates

Highly respected banking institution and probably the most iconic in Australia, my client is seeking a number of model development analysts to assist in the development of credit risk models for the replacement of IAS 39 to IFRS 9. Ideally we are seeking candidates from a credit risk modelling background (i.e. PD, LGD, Capital, and Scorecard) to develop models for loan loss provisioning and impairment.
IFRS 9 includes a logical model for classification and measurement, a single dynamic “expected loss” impairment model and a reformed approach to hedge accounting. Ideally we are seeking candidates with strong statistical modelling skills, (logistical regression, maximum likelihood estimation, Bayesian, Jarrow-Turnball).
We are happy to speak to candidates with retail and wholesale modelling experience.

To be considered for the position you must demonstrate the following requirements;

• A minimum 3 years of experience developing credit risk models across application, behavioural, capital or provisioning.
• Strong understanding IAS39, IFRS9 and APS 220/APS113. Excellent knowledge of retail or wholesale portfolios.
• Strong stakeholder management and ability to work and liaise with regulators, rating agencies and board level representatives.
• Programming skills preferably using SAS, SQL and R.
• Tertiary qualification in a quantitative discipline such as Statistics, Mathematics, Quant Finance, Econometrics or Operations Research.

This ad is now closed and is an example of a job including maths skills.