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Credit Risk Model Development Specialist
vor 2 Monaten
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.
Requirements
- 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.
What We Offer
- Be an integral part of a successful high-performance team working on exciting and challenging tasks in an international environment.
- Enjoy excellent professional and personal development opportunities.
- Discover and enjoy the benefits of working at Erste Group Bank AG.
- We offer a competitive and performance-related remuneration package, with additional payment dependent on your professional and personal qualifications.
- Erste Group Bank AG values diversity and considers it key to innovation and success, offering equal chances to all employees, regardless of age, skin color, religious belief, gender, sexual orientation, or origin.
