About the project

• 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.

Your responsibilities

• 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.

Our requirements

• University degree in a quantitative or technical field.
• Good understanding of statistics and familiarity with sophisticated tools for numerical analysis.
• Minimum 3 years (AVP) or 6 years (Senior AVP) of credit risk modeling 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.

Technologies we use

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)

• Corporate parties & events

• CSR initiatives

• Nursery discounts

• Financial support with trainings and education

• Social fund

• Flexible working hours

• Free parking