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Credit Risk Model Development Specialist
vor 2 Monaten
Credit Risk Model Development Specialist (all genders)
Location:
Vienna
Working-Hours:
Full-time
Occupation Area:
Risk management
Company:
Erste Group Bank AG
Erste Group was founded in 1819 as the first Austrian savings bank and today it is one of the largest banking groups in Central and Eastern Europe (CEE). As an attractive employer, Erste Group offers interesting career opportunities in an international environment.
The department Model Methodology & Development is the central function responsible for the development and maintenance of models used in the analysis of credit risk, in particular regulatory Pillar 1 IRB models (e.g. credit scorecards, PD, LGD, ELBE and CCF parameter models), Pillar 2 and IFRS 9 models. It is also responsible for the definition of group-wide model development standards.
Your Tasks
* Responsibility for the development and maintenance of credit risk models by applying advanced statistical techniques with focus on the Loss Given Default (LGD) and Credit Conversion Factor (CCF) parameters in Pillar 1 IRB, Pillar 2 economic capital and IFRS 9 impairment models for retail customer segments.
* Contribution to the continuous further development of Group-wide credit risk model development standards to ensure state-of-the-art methodology, reflecting research and regulatory provisions.
* Supporting Erste Group subsidiaries in the consistent implementation of such methodology.
* Reporting and presentation to the relevant decision bodies the outcome of modeling activities.
* Demonstrate compliance of models and methodology to validators, auditors and supervisors.
Your Background
* Advanced academic degree in natural or economic science with focus on mathematics, statistics, econometrics or banking and finance.
* Profound knowledge in applied statistics with focus on predictive modelling and computation.
* At least 2 years professional experience in the development or validation of statistical models, preferably in the area of internal credit risk models.
* Knowledge about the regulatory framework for credit risk management and banks' internal credit risk models desirable.
* Excellent skills in SAS programming language, knowledge of Python & SQL desirable.
* Proficient in communicating complex matters in both spoken and written English.
Our Offer
* Be an integral part of a successful high-performance team that is working on exciting and challenging tasks in an international environment.
* With your resilient, independent and committed working style you will easily be integrated in our team and value our strong cooperation
* Excellent professional and personal development opportunities.
* Discover and enjoy the benefits of Erste Group.
* We offer a competitive and performance-related remuneration package in the range of EUR 60.000,-- additional payment dependent on your professional and personal qualifications possible.
* Erste Group considers the diversity of its employees as key to innovation and success. As employer we are proud to offer everyone equal chances, irrespective of age, skin colour, religious belief, gender, sexual orientation or origin.
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