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Consultant - Risk Modeling
Il y a 3 mois
- Full Time
**Category**
- Banking & Financial Services
**External Reference**
- A1H6M000007KVZ8QAE
**Client Description**:
Nous recrutons pour l'un de nos clients, une grande institution financière, un(e) consultant(e) senior ayant une expérience dans **la** **modélisation de risk de crédit **pour une période de 9 mois pour un contrat consulting.
Spring Professional | LHH Recruitment Solutions propose des solutions RH complètes sous une marque unique. Nous sommes spécialisés dans l'emploi de middle managers et professionnels hautement qualifiés en consulting, intérim et recrutement permanent. ****
**Responsibilities**:
Dans le cadre de la modélisation de risque de crédit, la mission consiste à effectuer des travaux de mise en place ou de _backtestings_ de modèles PD/LGD/EAD sur divers portefeuilles:
- Identifier des gaps par rapport aux réglementations existantes et futures
- Mettre en place et gérer des sources de données nécessaires au développement de modèles
Intervenir activement dans:
- l'analyse et la préparation des variables explicatives
- le choix et la sélection du (ou des) échantillon(s) pour construire un (ou des) modèle(s)
- la validation des résultats en comparaison de la réalité et du portefeuille
- la documentation de toutes les étapes réalisées
- Très bonnes connaissances d'utilisation et **de programmation de SAS** en termes de traitement de données et de modélisation de risque de crédit
- Très bonne connaissance en matière de la réglementation relative à la modélisation du risque de crédit (CRR/CRD, RTS de l'EBA,)
- Formation à orientation statistique, économétrique, mathématique ou économique
- Maîtrise des concepts statistiques et économétriques relative à la modélisation des paramètres de risque crédit PD/LGD/EAD
- Expériences en matière de modélisation de risque de crédit PD/LGD/EAD
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