Senior Analyst, Quantitative Analysis

Bank of Communications Co., Ltd. Hong Kong Branch

Validate and monitor IRB PD model for exposure to bank, corporate and retail.
Implement IFRS9 PD/LGD/EAD model for impairment calculation.
Stress testing for credit risk, counterparty credit risk, concentration risk, ICAAP and Recovery Plan according to Bank’s risk appetite.
Degree holder or above with major in Mathematics, Statistics, Financial Engineering or related disciplines, with FRM or CFA qualification is an advantage
Minimum 3 years’ relevant experience in banking or financial sector, with extensive and intensive knowledge on Basel and credit risk models
Analytical experience on Basel modeling (PD, LGD, EAD etc)
In-depth knowledge and understanding of statistical aspects (especially these which are used in Credit Risk-Basel modelling): Logistic Regression, PCA, Scorecard development; KS- statistics; Reject inference techniques; Data sampling and time series modelling approaches.
Strong computing and programming skill such as SAS, VBA and Matlab is a must.

更多工作資料

薪酬	薪金面議
工種	銀行 · 金融服務 - 分析師銀行 · 金融服務 - 風險管理銀行 · 金融服務 - 一般 · 其他
僱用形式	全職
教育程度	學士