Expert Basel Metodologie Risc de Credit si Validare

Do you seek to have a wide overview of different credit risk models? Are you driven by initiative, curiosity and enthusiasm for handling large data sets and not afraid of cooperating sometimes with data scientists, Local and Head Office counterparts? Are you eager to apply your strong analytical skills to detect model flaws and find pragmatic solutions for them?

Then you are likely the one we are looking for to join Retail Risk Validation Team.

As part of the join Retail Risk Validation Team, you will be involved in the validation exercises of all types of retail credit risk models, including regulatory (Pillar 1, 2 and IFRS 9) and other models servicing business needs.

Responsibilities:

•Prepare internal credit risk reports and analysis;

•Respond to ad-hoc analysis requests in a timely manner, demonstrating clear understanding of credit risk specific measurements;

•Develop / maintain data structures required in the validation processes, the centralization of information and its use in the various forms of reporting (internal or external);

•Perform quantitative tasks (model validation), particularly in credit risk modelling involving scorecards, PD/ LGD/ EAD modelling, stress testing etc. Create validation documentation describing business use, conceptual approach, mathematical logic, implementation and testing approach for the model developed.

•Actively participate in validation exercises and dedicated committees, with ability to sustain and explain validation results, impact and trends;

•Perform and improve the measurement and monitoring of existing credit risk models;

•Regularly interact with colleagues, model stakeholders / users and internal or external auditors to discuss findings and potential model improvements;

Requirements:

We are looking for professionals that have:

•Bachelor/master degree in Mathematics, Finance, Economics, Banking or related;

•Experienced in code development using SAS Enterprise Guide, SQL, R Studio;

•Prior professional experience on modelling and /or validation of credit risk models (scorecards, PD, LGD, CCF);

•The ability to work under own initiative, curiosity and enthusiasm for handling large data sets and analyze evolutions;

•Willingness to learn and increase practical and theoretical knowledge;

•Ability to work in a team;

•Working knowledge of written and spoken English;