BRA Data & Analytics Spec III
Core
Senior quantitative modeler developing, calibrating, and monitoring regulatory credit risk and provisioning models (IFRS 9, IRB) using Python, PySpark, and AI/ML.
Role type
Senior IC quantitative risk modeler
Builds
Production regulatory models for credit risk provisioning and capital adequacy
Domain
Banking / Credit Risk / Regulatory Compliance
Deliverable
production ML models
Required skills
IFRS 9, IRB, Python, PySpark, SQL, Expected Credit Loss (ECL), PD/LGD/EAD modeling, Stress Testing, Backtesting, AutoML, GenAI, Big Data pipelines
Preferred skills
FRM, PRM, Data Science/ML certifications, Cloud certifications (AWS/Azure/GCP), Master's degree in quantitative fields
Technologies
Python, PySpark, SQL, Pandas, NumPy, Git, XGBoost, LightGBM, Random Forest, Apache Spark, Databricks, Delta Lake, AWS, Azure, Airflow, Optuna, SHAP, LIME, Streamlit, Dash
Responsibilities
Develop and calibrate ECL models for IFRS 9 and CMN 4.966; Implement IRB models; Perform monitoring, backtesting, validation, and stress testing; Process large data volumes; Build automated end-to-end pipelines; Apply AI/GenAI for automation; Document models for audits and regulators; Mentor junior staff
Seniority
Senior, hands-on IC