Quantitative Analyst – Loans – Banking Book – IFRS9

Description de la mission

WHO WE ARE
Quanteam Group is a Consulting firm specialised in the Capital Markets industry, in Paris, London, Brussels, New York and North Africa.
Since 2007, our 800 consultants provide major clients (Corporate & Investment Banks, Asset Managers, Hedge Funds, Brokers and Insurance Companies) with expertise in several projects such as Financial Engineering, Quantitative Research, Regulatory Implementation, IT Transformation & Innovation.
The firm mainly takes part in:
Business consulting: Quantitative research, Risk management (e.g. Market risk, credit risk, counterparty risk), Banking regulations (e.g. Basel III, Solvency II, FATCA, EMIR, MiFID), Pricing & Valuation, Organisational Transformation & Process Improvement.
IT & Information systems consulting: Business Analysis, Project Management, Change management, Front Office Support (functional and technical), Development (e.g C++, Python, C#, Java, VBA), Financial Softwares (e.g. Sophis, Murex, Summit, Calypso), IT Transformation & Innovation.
As part of Quanteam Group, Quanteam UK (incorporated in 2010) has today more than 80 consultants, working for major Financial Markets firms in London.
Overview of Department:
EMEA Markets Engineering (EME) is the Front Office quant group for MUFG Securities EMEA plc, and also acts for MUFG Bank as appropriate and authorized.
The XVA group within EME covers valuation adjustments and related calculations end to end, i.e. from user tools, through library development, to overnight and intra-day batch runs. The valuation adjustments cover both the Trading Book, e.g. Credit Valuation Adjustment (CVA), and the Banking Book, e.g. IFRS 9 Expected Credit Loss (ECL).
Main Purpose of the Role:
Develop and support the Expected Credit Loss (ECL) models related to IFRS 9, including staging, classification, etc.
Key Responsibilities:
In this role, you will be responsible for IFRS 9 models across MUFG’s banking arm and securities business under a dual-hat arrangement. Under this arrangement, you will act and make decisions on behalf of both the bank and the securities business, subject to the same remit and level of authority, and irrespective of the entity which employs you.
Skills and Experience:
IFRS 9 model development and support.
Personal Requirements:
Excellent attention to detail and accuracy