Credit Risk Expert – Specialization in Automobile Leasing (LOA, LLD)
Duration: 6 months | Start: ASAP | Location: Paris / Remote | Daily rate: According to profile

As part of a strategic mission with a major player in the automotive sector, we are looking for a expert in credit risk applied to leasing operations (LOA, LLD, etc.) to support a critical study on the advisability of moving from the standard approach to the IRBA (Internal Ratings-Based Approach) for calculating RWA (Risk-Weighted Assets).

Mission context
The client wishes to assess the feasibility and implications of a change in regulatory methodology (CRR, etc.) for measuring its credit risk exposures in vehicle leasing activities. The mission will focus on:

• Analysis of regulatory requirements (CRR, EBA Guidelines, etc.)

• Assessment of the work required on data, models, processes, and governance

• Carrying out an estimate of the calculation of RWAs according to the IRBA approach

• Identification of leasing specificities impacting calculations, such as:

  • Taking into account the residual value in the EAD (Exposure at Default)

  • Managing early terminations

  • Treatment of the variation in the value of financed assets

Roles and responsibilities

• Carry out a regulatory benchmark on the IRBA requirements applicable to leasing

• Identify gaps between the current situation and IRBA expectations

• Propose a roadmap of the work to be carried out

• Estimate a first level of RWA using the IRBA approach

• Formalize the main responses to the specific issues of leasing

• Support discussions with risk, finance, and compliance teams

Required profile

• 5+ years of experience in banking credit risk

• Demonstrated expertise in IRBA approach (retail and/or corporate)

• Solid knowledge of automotive leasing products (LOA, LLD)

• Mastery of CRR, CRD regulatory requirements

• Ability to conduct analyses on processes, data and internal models

• Excellent writing and communication skills

Mission Details
Location: Paris / teleworking possible
Duration: 6 months
Start: End of April / beginning of May
Rhythm: Full time
Freelance

We look forward to receiving your application and discussing this opportunity with you.

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