Internal Credit Risk & Market Risk Review

Internal Credit Risk & Market Risk Review

For our client, a world-renowned consulting firm collaborating with a prominent regulator, we are urgently looking for 2 senior experts in Credit Risk & Market Risk Review, available for a temporary assignment per March 2025.

If your skillset and availability fit most of the below description, please apply with your CV for a follow-up call today.

The combined expertise of the 2 consultants should cover:

• The issues arising in the IFRS credit provisioning (i.e., the Expected Credit Loss – ECL) for illiquid banking book positions
• (Fair) valuation issues for illiquid exposures
• How to account for credit guarantees (e.g. a ‘wrapper’ associated to a bond) within the valuation, whilst being mindful of any wrong-way risks
• Furthermore, a strong asset would be practical experience in the design & implementation of:

o Either, IFRS credit provisioning (incl. staging) methods for illiquid bonds (potentially with credit guarantees)

o Or, quantitative methods for estimating the IFRS fair value of illiquid bond & derivative positions – including competence gained by experience as to useful market data sources

• In particular, solid experience in provisioning for, or valuing of, bonds issued by utilities, the public sector and local authorities is a very strong asset
• Experience in the interplay between credit guarantees on bonds and the UK bankruptcy regime is an asset (For one of the two consultants)
• Basic knowledge of the requirements on the prudential valuation (Additional Valuation Adjustments). (For one of the two consultants)
• Basic knowledge of IFRS accounting rules for financial instruments held at banks

Further hard requirements:

• 3 month contract initially
• March - end of June
• 100% on site in Belgium
• Independent Contractor (own limited company required)

Looking forward to your replies!