Role Overview
We are seeking a talented Junior/Senior Quantitative Risk Analyst to join our Regulatory Models team. The successful candidate will support the delivery of our Credit Risk model development agenda across IRB and IFRS 9.
The models underpin the quantification of credit loss for our financial statements, including regulatory capital requirements and impairment provisions.
Responsibilities:
* Design, develop and analyse models to quantify credit risk.
* Develop data-driven and predictive models across Probability of Default (PD), Loss Given Default (LGD), Exposure of Default (EAD) and State of the Economy (SOE) models.
* Utilise traditional statistical techniques and apply mathematical theory/concepts.
* Build large datasets that are robust and efficient for use across Regulatory Models, helping to maximise speed of development through efficient coding and automation.
* Mentor and guide junior analysts to deliver our model development agenda.
* Produce high-quality value-add analysis and insights across data mining and trend analysis, and develop optimum segmentation strategies.
Requirements:
* A 2:1 honours bachelors degree (NFQ Level 8) in a STEM subject area.
* Experience and knowledge of programming languages such as SAS, SQL or other advanced statistical/econometric analysis software (e.g., Python, R etc.).
* Knowledge of statistical or modelling techniques (e.g., regression, time series modelling, hypothesis testing etc.).
* Excellent analytical, problem-solving and communication skills, with demonstrated skills in summarising and interpreting large volumes of data and translating into meaningful insights.
* An aspiration to become a subject matter expert on credit loss quantification.
This is a permanent role based in PTSB's St Stephens Green.