Credit Risk Model Development Specialist

vor 1 Tag

Wien, Österreich Erste Group Bank AG Vollzeit

**Location**:
Wien

**Working hours**:
Full-time

**Occupational Area**:
Sonstige

**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.

We are looking for a credit risk model development specialist with focus on LGD, ELBE and CCF models.

**Your Tasks**:

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**:

- At least 4 years of experience in the development or validation of statistical models in a large corporation, preferably in the area of internal credit risk models with hands-on experience in developing LGD, ELBE or CCF models for retail or corporate portfolios
- Profound knowledge in applied statistics with focus on predictive modelling and computation
- Knowledge about the regulatory framework for credit risk management and banks’ internal credit risk models desirable
- Excellent skills in SAS and SQL programming. Knowledge of Python and HQL programming as well as usage of GIT desirable
- Proficient in communicating complex matters in both spoken and written English
- High social competencies incl. team-orientation with strong ability to cooperate
- Excellent problem-solving skills, high commitment and ability to work independently

**Our Offer**:

- Be an integral part of a successful high-performance team that is working on exciting and challenging tasks in an international environment
- Excellent professional and personal development opportunities
- Discover and enjoy the benefits of Erste Group
- 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,
- A competitive and performance-related salary dependent on your professional and personal qualifications is granted - the minimum wage for this position in accordance with the respective collective agreement is EUR 39.356;
- gross per year
- 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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