Job Description

Data Scientist - 8 months contract (possible renewal)
Key Skills: Python, SQL, RDBMS PD, LGD, EAD parameter models, IFRS9 modelling frameworks and guidelines.

Job Description:

Experience in SQL and Python: Demonstrated ability to utilize these tools for data analysis, model development, and implementation
Understanding of IFRS 9 and Economic Capital Frameworks: Familiar with methodologies for expected credit loss (ECL) estimation under IFRS 9 and/or frameworks related to Economic Capital, with emphasis on regulatory compliance
Expertise in Risk Parameter Calibration: Hands-on experience calibrating Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) for
Wholesale and/or Commercial portfolios, ensuring alignment with regulatory requirements such as CAR guidelines where applicable
Knowledge of time series analysis and macroeconomic modeling, particularly for developing forward-looking credit risk forecasts or scenario analysis

Experience:

Experience developing PD, LGD, EAD parameter models. Familiarity with IFRS9 modelling frameworks and guidelines
Overall 7+ of experience

Qualifications:

Bachelors degree

Job Tags

Contract work,

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