Quantitative Backtesting Specialist
Updated: April 12, 2024 06:20 PM GMT
BNP Paribas
PortoAbout the job
• Support Team Leader and Supervisors on complex topics or requests addressed to the team (regulatory related topics, supervisor requests, ad-hoc requests, ...).
Develop and maintain the Model Performance Assessment methodology of internal rating models on the Basel credit risk parameters (PD, LGD, EAD / CCF), or contribute to other studies and projects within team's responsibility
Your Main Activities Are
• Support Team Leader and Supervisors on complex topics or requests (regulatory related topics, supervisor requests, ad-hoc requests, …).
• Contribute to the production of backtesting on risk parameters by producing the different steps: Data collection, Database construction, Back testing production, Report preparation
• Contribute to the production of the backtesting ECB Templates
• Contribute to the production of the backtesting Shortcuts
• Participation to transversal projects related to credit risk models performance assessment
• Control and validation of LGD... More Detail
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