Consultor/a Senior o Manager cuantitativo en modelos de Riesgo de Crédito
EY · Madrid, M
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- Company
- EY
- Location
- Madrid, M
- Posted
- July 31, 2026
About this job
Desarrollo, validación o auditoría de: Modelos de riesgo de crédito para cálculo de requerimientos de capital (IRB): PD, LGD, CCF. Modelos de riesgo de crédito para cálculo de provisiones (IFRS 9): PD, LGD, CCF, Maturity, Prepagos/ Amortización anticipada. Motores de cálculo, tanto de requerimientos de capital como de provisiones. Modelos macroeconómicos Forward-Looking, tanto para el cálculo de provisiones como para los ejercicios de estrés (stress test). Modelos utilizados a efectos de ICAAP (Pilar 2). Modelos de riesgo climático (ESG). Realización de Due Diligence sobre entidades/carteras objeto de adquisición. Desarrollo de modelos de pricing. Desarrollo de modelos de segmentación de clientes. Nueva definición de Default (NDoD).…
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