CREDIT RISK MODELING EXPERT

  • TBD
  • Milan, Lombardie, Italie Milan Lombardie IT
  • CDI, Plein-temps
  • Accenture Italy
  • 13 juin 18 2018-06-13

TECHNOLOGY IS DISRUPTING BANKING AND INSURANCE. JOIN ACCENTURE CONSULTING AND LIVE THE TRANSFORMATION OF FINANCIAL SERVICES. Use your talents to transform the way the world's largest companies do business - join our Global Consulting Team, shape innovative processes and integrate them with the most advanced digital technology. Help us to drive the change in Financial Services.

CREDIT RISK MODELING EXPERT

Milan 

We are looking for candidates with a high experience on Risk Modeling applied to Financial Services, in particular related to Credit Risk Management in the banking sector.

 

Don’t just follow the rules. Set them.

 

These will be your key responsibilities:

  • Probability of Default model estimation and calibration (both on High and Low default portfolios);
  • Loss Given Default (LGD) and Credit Conversion Factor (CCF) estimation;
  • Econometric quantification of impairment IFRS9 parameters (PD and LGD Lifetime);
  • Stress test analysis and simulation;
  • Econometric / statistical models for management and monitoring of credit portfolios (e.g. Pricing Risk Adjusted models);
  • RWA optimization;
  • Model validation, quantitative and qualitative;
  • Model Risk design and measurement.

 

What makes the difference
 

To be a part of our Financial Services Team, you should have these skills:

 

  • 3 to 6 years' experience in a banking consultancy firm or financial institution
  • Knowledge of Credit Risk Modeling and Validation of Credit Risk parameters in Regulatory field and other applied areas (e.g. IFRS9, Stress Test)
  • Knowledge of Risk Management regulation (Basel 2 and next changes) and current EBA changes
  • Strong knowledge of statistical software, in particular R and SAS (Basic programming language, Statistical tools, SAS Guide etc.)
  • Fluent English and Italian
  • Master’s Degree in Finance / Economics, Engineering or Statistical / Mathematical disciplines
  • Ready to travel in Italy and abroad
  • Excellent analytical, synthesis and teamwork skills