Wymagania

Wymagania pracodawcy

• Minimum 3 years of credit risk modelling experience.
• Good exposure to credit model methodologies and data requirement for A-IRB (preferable), IFRS 9 or stress testing.
• Background in financial institutions or consulting/audit firms.
• A degree in Mathematics, Physics, Computer Science, or a related quantitative field.
• Strong analytical and quantitative skills, including understanding mathematical algorithms.
• Python Programming skill
• Ability to think conceptually and apply knowledge proactively.
• Strong problem-solving skills and ability to explain credit risk concepts clearly.

Twój zakres obowiązków

• Develop and enhance AIRB credit risk models.
• Work on IFRS9 and stress testing models (accepted but less preferred).
• Create new credit risk models (most desirable).
• Validate and monitor models (acceptable but less prioritized).
• Conduct impact analysis on Risk-Weighted Assets (RWA) and Expected Credit Loss (ECL).
• Collaborate with internal Independent Model Review teams and ensure compliance.