Senior Credit Risk Analyst

Join a leading financial institution in an innovative role as a Senior Credit Risk Analyst, where you'll be at the forefront of developing advanced models for credit risk management. This role includes leading methodological advancements and developing quantitative models for PD, LGD, and EAD estimates, including multi-period models. You'll also work on modeling macroeconomic impacts on credit losses and stochastic algorithms (Monte Carlo). The position involves hands-on research and development of quantitative approaches for estimating credit risk.

Responsibilities:

Lead methodological advancements and hands-on development of credit risk models.

Conduct data analysis and SQL queries.

Develop econometric models and quantitative approaches for credit risk estimation.

Model macroeconomic impacts on credit losses using advanced statistical techniques.

Requirements:

Extensive experience in data analysis and SQL querying.

At least 3 years of experience in developing credit risk models and methodologies.

Master's degree in a quantitative field (Mathematics/Statistics/Econometrics) – required.

Experience with SAS Guide and common SAS procedures – advantage.

Research experience, including thesis/PhD – significant advantage.

Familiarity with credit risk management processes in a banking corporation – advantage.

Knowledge and experience in developing models based on advanced statistical methods/ML – advantage.