Credit Risk Model Development Specialist (all genders)
Jobbeschreibung
Wien, Wien, Österreich
Erste Group Bank
16.04.2024
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Working with us means believing in the future; in the great people who
are shaping it together every day and in the wide-ranging career paths
it opens up. #believeinyourselfErste Group was founded in 1819 as the
first Austrian savings bank and today it is one of the largest banking
groups in Central and Eastern Europe (CEE). As an attractive employer,
Erste Group offers interesting career opportunities in an
international environment.The department Model Methodology &
Development is the central function responsible for the development
and maintenance of models used in the analysis of credit risk, in
particular regulatory Pillar 1 IRB models (e.g. credit scorecards, PD,
LGD, ELBE and CCF parameter models), Pillar 2 and IFRS 9 models. It is
also responsible for the definition of group-wide model development
standards.Your TasksResponsibility for the development and maintenance
of credit risk models by applying advanced statistical techniques with
focus on the 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.Contribution to the
continuous further development of Group-wide credit risk model
development standards to ensure state-of-the-art methodology,
reflecting research and regulatory provisions.Supporting Erste Group
subsidiaries in the consistent implementation of such
methodology.Reporting and presentation to the relevant decision bodies
the outcome of modeling activities.Demonstrate compliance of models
and methodology to validators, auditors and supervisors.Your
BackgroundAdvanced academic degree in natural or economic science with
focus on mathematics, statistics, econometrics or banking and
finance.Profound knowledge in applied statistics with focus on
predictive modelling and computation. At least 2 years professional
experience in the development or validation of statistical models,
preferably in the area of internal credit risk models.Knowledge about
the regulatory framework for credit risk management and banks’
internal credit risk models desirable.Excellent skills in SAS
programming language, knowledge of Python & SQL desirable.Proficient
in communicating complex matters in both spoken and written
English.Our OfferBe an integral part of a successful high-performance
team that is working on exciting and challenging tasks in an
international environment.With your resilient, independent and
committed working style you will easily be integrated in our team and
value our strong cooperationExcellent professional and personal
development opportunities.Discover and enjoy the benefits of Erste
Group.A competitive and performance-related salary dependent on your
professional and personal qualifications is granted – the minimum wage
for this position in accordance with the respective collective
agreement is EUR 40.120,36 gross per year.Erste Group considers the
diversity of its employees as key to innovation and success. As
employer we are proud to offer everyone equal chances, irrespective of
age, skin colour, religious belief, gender, sexual orientation or
origin.
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