Vice President, Model Development I, Credit Rating Modeling

94_25623976

Obowiązki

• executing corporate-wide standards for model development through creating options for theoretical frameworks, collecting data needed, supporting assumptions, and reviewing outcomes,
• aligning to the development scope established by more senior colleagues,
• monitoring performance of Estimation Approaches, identifying possible deterioration by comparing outcomes to established thresholds,
• executing Estimation Approaches in accordance with approval conditions and communicate results to management,
• supporting use of the Estimation Approaches,
• provide testing and analysis at the request of Model Risk Management Group.

Wymagania

• Credit Risk measurement’s concepts: Basel Accords, Risk-Weighted Assets, Probability of Default, Loss Given Default, CECL,
• Creditworthiness evaluation for various types of wholesale customers,
• Financial ratios analysis and interpretation,
• Climate risk ranking and financed greenhouse gasses emissions,
• Reporting to and communicating with a chief-level stakeholders and regulatory institutions.

Oferujemy

• Graduates of Econometrics/Finance/Economics.
• Master’s degree: 1-2 years of job-related experience,
• PhD degree: 0-1 years of professional experience.
• Theoretical background and knowledge of Credit Risk Measurement’s concepts: Basel Accords, RWA, PD, LGD, EAD and UGD estimations.
• Experience with quantitative modeling, numerical analysis, and computational methods with any programming language (Python, VBA, R or SQL are adequate) as well as mathematical/statistical software packages.
• The candidate must have excellent presentation skills, assertiveness & influencing skills, and ability to explain abstract theoretical concepts to a non-expert audience in an easy-to-understand language.
• Proficiency in business English. The candidate must be able to communicate professionally in English-speaking environment. He/she will co-operate, report and communicate with English-speaking stakeholders on a daily basis.

Źródło: BNY/Praca