Senior Quantitative Analyst – IFRS 9– (M/F)

Mission: The Senior Quantitative Analyst will be responsible for developing and implementing quantitative models for IFRS 9 compliance, including expected credit loss (ECL) calculations, credit risk modeling, and stress testing methodologies. The role requires a deep understanding of quantitative finance, regulatory requirements, and the ability to communicate complex concepts to both technical and non-technical stakeholders. Your next challenge: Develop, monitor, and maintain quantitative methodologies relating to the estimation of IFRS 9 Expected Credit Losses Act as a subject‑matter expert on IFRS 9 modelling topics within the Bank. Develop and maintain credit risk quantification models for Low and High Default Portfolios. Ensure the models perform as intended through ongoing monitoring and back testing. Continuously improve the models and their documentation. Collaborate with internal validation, internal audit, and regulatory stakeholders to support reviews and challenges. Ensure compliance with supervisory expectations and internal model governance requirements (procedures, standards, and data quality frameworks). Contribute to end‑to‑end model lifecycle processes, including implementation testing and model change control. Assist in the reporting and analysis of ECL figures as part of the Bank’s closing processes with special considerations for novel risks (e.g., climate and geopolitical risks) and management overlays. Follow market trends and regulatory updates to ensure that the models are aligned with current requirements and foresee future enhancements. Provide quantitative expertise to Risk Management and other departments of the bank. Design models or quantitative solutions such as impact and sensitivity analyses to assist internal stakeholders with business, risk, regulatory, or financial challenges and support decision‑making within the Bank. Contribute to stress‑testing exercises (e.g., ECB Stress Tests, Capital and Liquidity Planning, Recovery Planning, ICAAP) by maintaining and developing quantitative solutions used for forecasting credit risk. Participate in the preparation, analysis, and benchmarking of the scenarios used across the Bank. Assist in the enhancement of internal scenario generation capabilities. IFRS 9 models: Support the development or improvement of IFRS9 models and methodologies used for the estimation of Expected Credit Losses, including the design, implementation, documentation, and maintenance of the models. Reporting: Contribute to the production of monthly ECL estimations and timely estimation, analysis and communication of management overlays. Contribute to external auditors’ requests and assist in preparing ECL documentation for the Annual and Semi‑Annual Reports. Scenario Modelling and Forecasting: Contribute to the preparation, analysis, and benchmarking of macro‑economic scenarios used across the Bank for capital planning and risk assessment purposes. Support the evolution of internal scenario generation capabilities and the development of global market shock methodologies. Support the enhancement of credit risk forecasting methodologies