Credit Model Governance Expert
Há 7 dias
Job Summary:
We are seeking a highly experienced Credit Model Governance Expert to join our team at Acca Careers. The successful candidate will be responsible for developing, maintaining, and continuously improving sound methodological and procedural frameworks for compliant credit risk models.
Key Responsibilities:
- Develop, maintain, and continuously improve sound methodological and procedural frameworks for compliant credit risk models;
- Support the maintenance of DLL's risk (IRB PD, LGD, EAD; IFRS9) and compliance models;
- Support the materiality assessment of eventual changes to the DLL's rating Systems;
- Develop data queries and dashboards to prepare recurring as well as ad hoc reporting and analysis, ensuring high data quality and accurate information to support the department, Group Risk, and other stakeholders;
- Develop recommendations based on the performed analysis and effectively communicate results to the business in both written and verbal form.
Requirements:
- Good understanding of Risk Management principles and regulatory requirements regarding internal models for credit risk - internal ratings based approach (IRB);
- Minimum of 3 years of work experience in quantitative analysis within risk modelling in banking and finance;
- Quantitative academic education in a relevant field, like econometrics, mathematics, actuarial studies or physics;
- Experience in quantitative financial modeling; model development, CRCU function and/or model validation;
- Strong knowledge of software packages for statistical and data analysis, such as Python and R, and experience with extracting data from various databases and analysing large data sets for conversion into useful business information;
- Excellent communication skills (verbal and written) in English and ability to write clear and logical comprehensive documents and instructions;
- Able to work independently and under pressure.
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