Popis pracovnej ponuky
Our client is one of the world's leading analytics providers focused on high-end research and analytics services to the world's top financial institutions, including leading investment banks and asset management firms.
This job is based in Poland! Employees will be able to work in Wrocław or in the client's office in Warsaw.
As a Credit Risk specialized Quant, you will be working as part of a larger Credit Risk Model Validation team consisting of Senior Quants from the client's team supported by company's Senior Credit Risk Quant specialists.
The role requires complete understanding of Credit Risk Models covering IRB Capital computation, Basel regulations based risk measurement and Credit Decisioning, Credit risk Economic capital computation as well as Credit portfolio Stress testing.
Your day to day responsibilities will include:
- Completely understand the client's credit portfolio, including its inherent risks, risk factors, business strategies and specific products and their risk management implications.
- Initial Validation of new Credit Risk Models across businesses such as Retail Credit, Wholesale Loans, Corporate Credit, Mortgages, Securitized Products, etc.
- Re-validation, recertification of existing Credit Risk models, with an in depth analysis of model changes w.r.t. model accuracy, suitability, adequacy, regulatory compliance.
- The coverage includes rating/scoring models, credit decisioning models, PD/LGD/EAD models, EL/UL models, Scenario Design models, Stress testing, risk factor shock propagation models, etc.
- Documentation of the validation process, test results, findings and recommendations as per the regulatory requirements and internal policies and procedures
- Interact with senior level model developer, business side model users, senior risk managers and MRM personnel, as well as IT/Implementation specialists and internal/external data providers.
- Ensure adherence to quality standards set forth by the client financial institution to achieve regulatory compliance of both quantitative and qualitative models used in Credit Risk management, risk assessment, Capital computation, loss forecasting, reporting and credit decisioning.
Preferred Skill sets:
- Master's degree in quantitative finance/risk management/banking and finance/MBA/Statistics
- Excellent understanding of statistical techniques for data analysis, regression analysis, time series analysis, classification techniques, outlier detection, etc.
- 3 or more years of experience in model development or model validation are
- Demonstrable experience in Credit Risk quantitative models in Corporate Credit/Retail Credit/Wholesale Credit/Securitized Products, etc.
- Expertise in PD/LGD/EAD/Credit VaR/RWA estimation as per Basel/EBA regulations
- Experience in Scenario Design model development or validation, or credit risk stress testing models
- Excellent Written, Oral Communication skills and Documentation experience in preparing regulatory compliant model documents.
- Excellent understanding of credit risk factors and their relationship with business drivers, economic and regulatory driver variable
- Expertise in MS Office and SAS
Brutto base salary will depend on the working experience, professional qualification and skills of the candidate. The advertised amount is minimum salary which can be offered for this role and does not include bonuses, benefits or variable part of the salary.
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Candidate's agreement about protection of personal data:
By responding to this job offer, I hereby grant CPL Jobs s.r.o., domiciled at Vysoká street no. 14, 811 06 Bratislava in Slovak Republic, Identification Number: 35881895, a company registered in the Commercial Register of District Court Bratislava I, Section Sro, Insert No. 31323/B (hereinafter "CPL" ) my consent to the processing of all of my personal data provided to CPL for the purpose of realization of the recruitment process for the job position I am applying for, or any other relevant job position in the future. I also hereby agree to the processing of data associated with my physical identity, if the data I provided include my photograph. In addition to the aforementioned, I hereby declare that all information provided is accurate, correct and up to date and agree to its provision and disclosure to third parties, primarily, to other branches of the CPL group and to clients of CPL, within the scope of the purpose for which the data was acquired, which is the realization of the recruitment process for a job position. This consent is granted until the delivery of my self-signed written appeal of this consent to CPL.