Credit Risk Model Development Specialist
Vor 3 Tagen
Job Summary
Erste Group Bank AG is seeking a highly skilled Credit Risk Model Development Specialist to join our team in Model Methodology & Development. As a key member of our department, you will be responsible for developing and maintaining credit risk models, applying advanced statistical techniques, and ensuring compliance with regulatory requirements.
About the Role
- Develop and maintain credit risk models, focusing on 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.
- Contribute to the continuous development of Group-wide credit risk model development standards, ensuring state-of-the-art methodology and compliance with research and regulatory provisions.
- Support Erste Group subsidiaries in implementing consistent methodology and reporting to relevant decision bodies.
- Demonstrate compliance of models and methodology to validators, auditors, and supervisors.
About You
- Advanced academic degree in natural or economic science, with a focus on mathematics, statistics, econometrics, or banking and finance.
- Profound knowledge in applied statistics, with a focus on predictive modeling and computation.
- At least 2 years of professional experience in developing or validating statistical models, preferably in internal credit risk models.
- Knowledge of the regulatory framework for credit risk management and banks' internal credit risk models is desirable.
- Excellent skills in SAS programming language, with knowledge of Python and SQL desirable.
- Proficient in communicating complex matters in both spoken and written English.
About Us
- Erste Group Bank AG is a leading banking group in Central and Eastern Europe, with a strong commitment to innovation and customer satisfaction.
- We offer a dynamic and inclusive work environment, with opportunities for professional and personal growth.
- Our team is passionate about delivering exceptional results and making a positive impact on our customers and the community.
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