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This role will be responsible for credit risk models development within Wholesale Credit Risk GRA team. The focus will be mainly on supporting AIRB methodology development with possible projects in stress-testing (ST) and IFRS 9 areas. Apart from model development as the dominating area of the work, your involvement in all other stages of risk model lifecycle might be required.
Job Responsibility:
Work as part of model development teams developing new wholesale credit risk scorecards (PD, LGD, EAD) for global and regional portfolios
Support deployment and maintenance of live models
Support or drive enhancement of existing credit risk scorecards in order to improve their performance or their applicability to other risk measurement or regulatory requirements
Be involved in data improvement initiatives to support model development
Participate in model usage forums, governance committees and technical panels
Liaise with internal Independent Model Review team during model development, model monitoring and review processes
Requirements:
University degree in a quantitative or technical field
Good understanding of statistics and familiarity with sophisticated tools for numerical analysis
Minimum 4 years of credit risk modelling experience
Good exposure to credit model methodologies and data requirement for A-IRB (preferable), IFRS 9 or stress testing
Proven ability to take ownership of your work and solve complex modelling related issues
Strong database and credit risk systems experience including coding in Python (preferable), SAS, R, SQL, VBA
Good understanding and interpretation of regulatory rules
What we offer:
Competitive salary
Annual performance-based bonus
Additional bonuses for recognition awards
Multisport card
Private medical care
Life insurance
One-time reimbursement of home office set-up (up to 800 PLN)
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