Senior Econometrician/Quantitative Macroeconomist to Macro Research, LC&I
In the summer of 2014 the International Accounting Standards Board (IFRS) finalized its project to improve the accounting standard for financial instruments with the publication of the so-called IFRS 9. Notably, IFRS 9 requires that an entity shall measure expected credit losses of a financial instrument in a way that reflects forward looking information taking into account economic forecasts. Thus, views on the future economic conditions will affect the credit losses and, consequently, the P/L of the bank.
Swedbank is currently in the process of developing and implementing credit risk models fit for IFRS 9 calculations. In this regard, the econometric modelling of dynamic dependencies between macroeconomic variables and credit losses as well as long term levels poses a significant challenge with respect to the modelling complexity involved. The macroeconomic components are fundamentally intertwined with other risk components of the IFRS 9 model framework.
The Macro Research team is responsible for global, regional and national macro analysis. It consists of macroeconomists from Sweden, the Baltics and Norway. We follow closely international and local markets, and provide macroeconomic analysis and forecasts that form the basis for calls on a wide range of currencies and interest rates. We publish in both English and Swedish, and our products range from short comments to longer macroeconomic analysis. We also participate in client events and meetings.
Your main tasks will be:
- Responsible for developing and maintaining macroeconomic time series models for IFRS 9 purposes
- Integrate macroeconomic forecasts in the IFRS 9 framework
- Develop and build models and methodologies for IFRS 9 framework. This covers different aspects of scenario probability, variable path validation and forecast assessment
- Build a regular process for the quarterly provision of IFRS 9 reports
- Write documentation explaining the IFRS 9 process to audit standards
- Liaise with senior stakeholders to explain the development of IFRS 9 methodology development
- Assist in constructing economic scenarios covering key global macroeconomic risks and all economies relevant to the bank
- Participate in economic analysis and data driven research to support the design of the macro framework
- Communicating with various stakeholders at the bank
- Working closely together with the Macro Research team and the IFRS 9 modelling team
- This role reports directly to the Head of Macro Research team
To fit the role:
- You have a quantitative skill set equivalent to a PhD in econometrics or quantitative economics
- You have a genuine interest in macroeconomics and financial markets
- Experience with building or intensively using large scale macroeconometric models is preferred. Should have understanding of key global macroeconomic issues and interlinkages across economies
- Experience with forecasting/scenario development/stress testing using macroeconomic quantitative techniques and structural models
- Experience understanding and quantifying impact of major global macroeconomic risks
- Familiarity with structural models, such as DSGE is desirable
- Strong competence in both macroeconomic theory and time series econometrics (VAR, Cointegration)
- Experience in advanced statistical modeling and coding in one or more of the following environments: Matlab or SAS
- Proven ability to work well in a team, be cooperative and open
- Integrity and ability to challenge when appropriate
In order to succeed, you need to be driven, result-oriented and have an ability to produce high quality results under pressure.
Why do you want to work with us?
We believe that long-lasting relationships with our customers and employees create the foundation for sustainable business. We would like to welcome you to an international organization, where you can apply your knowledge in creating relevant, efficient and innovative services to our clients. We offer you broad development and learning possibilities under professional leaders. We value a healthy lifestyle culture and a work-life balance. When people grow – businesses and society grow.
We have made our choice regarding recruitment media and therefore kindly decline contact with ad sellers or sellers of other recruitment services.
Want to know more?
If you have questions related to the position, please contact Magnus Alvesson, recruiting manager, +46 70 610 3341.
Union representatives: Finansförbundet Maud Rodriquez-Forsgren +46 8 58592094 , SACO Jan Otta +46 708892112.
We welcome your application as soon as possible and will start the selection during the application period.
Nothing of interest for you – recommend the job to a friend!
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