Your next challenge:
- Trainee position for a 6-month period within the Credit Data Science (CDS) team who is in charge of the modelling and the maintenance of internal credit risk models that are used for both (i) the calculation of minimum regulatory capital requirements, (ii) the loan loss provisioning under the IFRS 9 accounting standard and (iii) forecasting exercises (e.g. EBA EU-wide stress tests, ICLAAP, recovery plan, financial planning)
- Monitoring and (re)development of IFRS 9 credit risk models for low-default portfolios (LDP)
- Focus on 3 main credit risk parameters: probability of default (PD), loss given default (LGD) and migration matrices
- Improvement of the expected credit loss (ECL) measurement in line with the IFRS 9 accounting requirements
- Improvement of the (credit risk) stress testing methodology that is used for (regulatory) forecasting exercises