Quantitative Risk Modeler

il y a 3 semaines


Paris, Île-de-France Sia Partners Temps plein
Job Description

Sia Partners is seeking a highly skilled Quantitative Risk Modeler to join our team. As a Quantitative Risk Modeler, you will be responsible for developing and implementing risk models for credit risk, as well as providing expertise in risk modeling and validation.

Key Responsibilities
  • Develop and implement risk models for credit risk, including PD/LGD models, in accordance with regulatory requirements (Baloise III/IV) and/or corrective plans.
  • Develop scores and define and implement stress tests/back tests, as well as update recovery plans in banking institutions.
  • Support Risk Management teams in reviewing models (data quality, modeling, calibration) and reviewing work of modeling teams (LoD1/LoD2).
  • Support audit/inspection teams in reviewing risk model management and risk model governance (tiering/scoring models, defining audit plans, conducting audits).
  • Support financial and non-financial companies in implementing IFRS 9 standards.
  • Integrate climate-related physical risks (inundation, wildfires, storms) or economic effects of the transition to a low-carbon economy into credit risk components.
Requirements
  • Master's degree in a quantitative field (Master 2 or Doctorate).
  • Proven experience in banking and/or consulting.
  • Expertise in risk modeling, risk model validation, or audit/inspection.
  • Experience in management is a plus.
  • Proficiency in R, Python, and other programming languages.
  • Knowledge of SAS, SQL, Matlab, Dataiku, and other tools.
  • Excellent analytical and teamwork skills.
  • Fluency in French and English.
Company Culture

Sia Partners is an equal opportunities employer. All aspects of employment, including recruitment, promotions, remuneration, or sanctions, are based solely on performance, skills, and behavior of employees or the needs of the company.


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