11 set - Milano
iason
iason is an international firm that consults Financial Institutions on Risk Management.
iason is a leader in quantitative analysis and advanced risk methodology, offering a unique mix of know-how and expertise on the pricing of complex financial products and the management of financial, credit and liquidity risks.
In addition iason provides a suite of essential solutions to meet the fundamental needs of Financial Institutions.
We are looking for a Senior Credit Risk Quant to join our team!
Main Tasks
- Development of Pillar I (PD, LGD, EAD) and Pillar II (Credit Portfolio model) Credit Risk models;
- Development of statistical models to analyze macro-economic variables and forecast time series (satellite model);
- Ad hoc quantitative analysis on credit risk issues;
- Produce and maintain readable code in the main statistical software (Stata/ SAS);
- Creation of databases and data manipulation;
- Data and Model Governance during the development and implementation phases;
- Support in the performance of Stress-Test exercises (EBA, ICAAP,...);
- Production of methodological and technical documents and presentations;
- Collaborate to the realization of Iason’s development projects and research.
Analytical and Technical Requirements
- MSc in Economics, Mathematics, Physics, Mathematical Engineering, Statistics or other quantitative courses;
- Good math and statistics foundations, especially in econometrics;
- 2–4 years of work experience in credit risk management;
- Deep knowledge of the main concepts of Credit Risk (PD, LGD, Internal Rating approaches, Satellite Models);
- Knowledge of the Risk Management framework and processes;
- Knowledge of banking systems and processes usually involved in Risk Management (e.g. RAF, ICAAP/ILAAP);
- Deep knowledge of the main statistical software (SAS/R/Stata/Python);
- Fluent English (written and spoken);
- Be able to perform well under pressure and to meet deadlines;
- Be proactive and very detail-oriented;
- Analytical mindset and well-organized approach to problem-solving.
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