MODEL RISK ANALYST - CREDIT RISK STREAM

What will your tasks be?

• Your primary responsibility will be to participate in the quarterly, annual, and initial validation of retail client scoring (scorecard), credit risk (PD, LGD, CCF/EAD), and IFRS9 impairment models, and to accompany the entire process in the case of new model development using and building AI solutions for certain aspects.
• In addition to retail models, we also cover the validation of corporate rating models, measurement of concentration risk, and methodological issues related to stress testing.
• Validation tasks also include the preparation of validation reports and the presentation of results.
• An important part of the validation work involves building challenger models and developing methodological proposals.
• In accordance with supervisory expectations, we operate numerous models and produce reports to accurately measure and demonstrate portfolio credit risk and ICAAP capital requirement.
• You will be responsible for further developing these models (e.g., PD, LGD, CCF/EAD) and reports, representing the results to management and supervisors, and maintaining communication with relevant departments such as model development and Head Office validation.
• You will actively participate in risk management projects and perform proactive tasks related to capital management.
• In the medium term, opportunities may arise to validate other model types examined by the Validation Department, such as data science and balance sheet risk models.

Why is it worth working with us?

• Be a part of an international team at one of the leading banking groups
• Work as a team in a positive atmosphere and supportive work environment
• Agile way of working with modern and digitalized processes
• Work on interesting projects with experienced professionals
• Opportunity for continuous professional and personal development
• Flexible working arrangements, hybrid way of work and determining your own work-life balance

Application requires:

• You have experience in relevant positions (e.g., model development, validation, risk management consulting), or as an enthusiastic junior, you are planning to start your professional career.
• You hold a higher education degree in finance, mathematics, physics, statistics, IT, or a related field.
• You have negotiation-level English language skills.
• You are capable of performing complex data manipulations on large databases (primarily SQL, Excel) and are proficient in a statistical software package (e.g., Python, R, SAS).
• Your strengths include structured thinking, independent decision-making and problem-solving abilities, and proactivity.