Ifrs 9 Modelling Expert
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IFRS 9 Modelling avec forte spécialisation en EAD Retail et capacité à intervenir à la fois sur du modelling opérationnel et une revue conceptuelle transverse du framework IFRS 9
Contexte / Projet de la mission / Tâches principales :
Mission au sein de l’équipe IFRS 9 Modelling de la BIL avec un double objectif :
- Développement d’un modèle EAD Retail IFRS 9
- Adaptation des modèles IRB CCF existants
- Définition du scope et segmentation
- Modélisation des tirages futurs, remboursements anticipés, effets de stage et forward-looking
- Alignement avec les modèles existants (maturité comportementale, framework global)
- Analyses d’impact, backtesting, stress/sensibilité
- Documentation complète du modèle
- Revue du framework IFRS 9
- Analyse conceptuelle (PD, LGD, EAD, staging, SICR, overlays…)
- Vérification de conformité réglementaire
- Benchmark marché et best practices
- Revue des overlays (design, gouvernance, justification)
- Analyse des ratios de couverture ECL
- Recommandations d’amélioration
- Gestion des recommandations audit / validation
- Formation et transfert de compétences
- Coordination avec les parties prenantes
Expérience requise : Minimum 7–10 ans en modélisation risque bancaire avec expertise IFRS 9 confirmée
Compétences obligatoires (Techno, skills, soft skills, certifs) :
- Expertise IFRS 9 EAD modelling (obligatoire)
- Bonne maîtrise PD / LGD ou IRB CCF modelling
- Solides compétences en modélisation quantitative / statistique
- Expérience en environnement bancaire réglementé
- Capacité à produire documentation méthodologique complète
- Expérience en revue / audit / benchmarking IFRS 9
- Bonne compréhension des attentes régulateurs (ECB, CSSF…)
- Soft skills : autonomie, rigueur, communication, pédagogie
Langues nécessaires :
Anglais obligatoire
Français fortement souhaité
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