Development and maintenance of AIRB/IFRS9 credit risk models (PD, LGD, CCF) for multiple portfolios or operational risk and climate risk models
Group-wide methodological responsibility for quantitative credit risk or operational and climate risk forecasting models
Forward-looking construction of a cross-functional methodology architecture
Estimation and optimization of separation power, quality of quantification and stability of forecasts and comprehensive uniform calibration on Basel compliant definition of default
Ensuring compliance with regulatory/accounting standard requirements (Basel / IFRS9 etc.) and EBA GL
Programming of prototypes for impact and scenario analysis in different programming languages (R, Python, SAS, SQL)
Data preparation, statistical and empirical investigations, handling of very large amounts of data, their aggregation and evaluation
Preparation of technical specifications, presentations and documentation of quantitative credit risk forecasting models
Internal and external communication, including auditors, regulators, external partners and rating agencies
requirements-expected :
Master degree with very good grades in mathematics, physics, econometrics or related fields
Very good mathematical-statistical skills as well as knowledge of the mathematical-statistical basis of model development (multivariate statistical methods, stochastic processes, etc.)
Minimum 3 years of professional experience in banking, preferably within risk modelling or validation
Very good knowledge of data modelling software and coding (Python/R, SAS/SQL) with experience in analysis of huge data sets
For credit risk model developers: knowledge of regulations from credit risk models area (CRR, EBA GL, IFRS9)
English C1 level
benefits :
private medical care
sharing the costs of professional training & courses
life insurance
remote work opportunities
flexible working time
integration events
corporate sports team
retirement pension plan
preferential loans
no dress code
video games at work
coffee / tea
leisure zone
pre-paid cards
redeployment package
employee referral program
extra leave
Multisport
Skills@Work - personal & professional development program
Employee Assistance Program (psychological support)
