Information:
Job Vacancy Details
Risk Analyst
City - Risk Management
Business Services
Permanent
Updated March 25, 2012
To be the lead analyst in the validation of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models, to ensure their adherence to the CRD and other regulatory requirements, together with internal Group Standards; As part of their validation activities, ensure active and positive communication exists with the relevant stakeholders involved in the model validation process; Data management using SAS and Excel. This includes reading Excel files into SAS, data manipulation, deriving new variables and creating SAS datasets; Undertake statistical analysis through SAS. This includes discrimination, calibration, population stability, & sensitivity measures; interpret and report on the results of this analysis; Produce detailed documentation for all model validations to a standard appropriate for reporting to internal and external stakeholders (including the Financial Regulator, as required); Ensure the ICU's adherence with its Validation Schedule, whilst producing high quality deliverables. This includes providing feedback on the ongoing appropriateness of the timeframes allocated in the Validation Schedule .
Who we're looking for
The successful candidate is likely to have a quantitative discipline such as statistics, econometrics or mathematics and/or may have experience in quantitative analysis; Good report writing skills; High levels of commercial awareness - to recognise the balance between measurement excellence and business needs; Excellent team player with enthusiasm and energy, able to deliver under tight deadlines; Advanced user of Excel; Knowledge of statistical analysis packages such as SAS (e.g. Base, E-Miner) is desirable but training can be provided, if required; Familiarity with the broad principles of Basel II/CRD.
110000103593
About our client
Financial services client located in Dublin
What's on offer
Attractive remuneration package
Michael Page Contact
For further info, apply or phone on 01 653 9800.
Job Ref: 5363
Your application will be sent to Julie-Anne Cosgrave.
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