Manager

Responsibilities

• Develop and implement advanced quantitative models for assessing credit risk, specifically PD, LGD, and EAD.
• Design and refine models to calculate Expected Credit Loss (ECL) under IFRS 9 and CECL frameworks.
• Validate and backtest credit risk models to ensure accuracy, consistency, and regulatory compliance.
• Lead the design and execution of credit risk stress testing processes under various macroeconomic scenarios.
• Ensure all models adhere to regulatory requirements including Basel III, IFRS 9, and CECL.
• Collaborate with finance, accounting, and IT departments to integrate models into daily operations and financial reporting.
• Provide expert advice and documentation on model assumptions, methodologies, and limitations to stakeholders.

Requirements

• Master's or PhD in Quantitative Finance, Financial Engineering, Mathematics, Statistics, or a related field.
• 3-5 years of experience in quantitative risk modelling with a focus on credit risk (PD, LGD, EAD).
• Proven experience with the development and validation of ECL models under IFRS 9 or CECL frameworks.
• Proficiency in programming languages such as Python, R, MATLAB, or SAS.
• Strong experience with data analysis tools like SQL, Excel, Hadoop, or Spark.
• Hands-on experience with credit risk stress testing methodologies.

Preferred Qualifications

• Professional certifications such as CFA or FRM.
• Proficiency in VBA.
• Experience with machine learning libraries such as scikit-learn or TensorFlow.
• Familiarity with risk analytics tools and platforms like Moody’s, S&P, or Bloomberg.

About the Company

Uniqus Consultech Inc is a consulting firm dedicated to shaping the future of financial risks through collaborative and forward-thinking solutions.