Quantitative Analyst in Lagos, Nigeria

at Ernst & Young

Industry
Oil & Gas / Mining
Specialization
Accounting
Minimum Qualification
Bachelor's Degree
Required Experience
1 - 3 years
Employment Type
Full Time
Gender
Male or Female

Job Description

Role Description

The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:

1. Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel

2. Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements

3. Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements

4. Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients

Qualifications

Qualifications: B.Sc. (2.1)/MBA in Mathematics or Actuarial Science

Relevant working experience

  1. 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
  2. Basel II/III capital requirement calculations under Advanced IRB approach
  3. Banking/Insurance
  4. IFRS 9 and IAS 39 knowledge/experience will be an added advantage.

Modeling savvy:

  1. Using mathematical sense to model under different scenarios
  2. Model validation etc.

 

 

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