200 years #believeinyourself
Working at Erste Group means working together on the future of us all: our customers, our company, each individual.
This takes to believe in yourself and the people around you; as well as to meet others with respect, empathy and understanding of diverse life stories.
Internship Credit Risk Model Developer (f/m/d)
Erste 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.
Our team (Methods and Framework I) is responsible for developing and maintaining the methodology behind the estimation of the regulatory credit risk parameters. We are looking for a qualified model developer who can join us in building and improving credit risk models for Basel and IFRS.
- Support in the definition of data requirements for development/improving risk parameter model estimations
- Quality assurance: check data on consistency, plausibility and usage. Merging, cleaning and quality checks of data sources for development of risk parameter methodology from data delivered by (CEE) local banks; data reconciliation for model development.
- Support in development of SAS tools for automation of data collection
- Contribute to IRB model development in strong cooperation with local banks in context of Basel III and IFRS9 framework in SAS
- Estimation of risk parameters to be used in RWA calculation
- Improve/enhance methodology for estimation of risk parameters
- Maintain extensive and complete documentation on PD/LGD/CCF methodology
- Perform ad-hoc analyses for internal or regulatory requests
- Build an understanding how ratings and corresponding risk parameters are used in risk controlling - not only for regulatory purposes (pillar I and pillar II) but also for pricing and in contribution margin schemes
- Evaluate statistical models (best practice/state of the art) in terms of relevance for risk controlling in Erste Group
- Take up of business feedback for further improvement of rating methodology
- Quantitative and statistical skills (time series analysis, logistic/ linear regression, and segmentation)
- Solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data
- Understanding of Basel regulation (CRR, CRD, RTS, GL)
- Good MS Office skills, especially MS Excel
- Experience of statistical software like SAS and R used for modeling purposes
- Good Multi-tasking skills. Ability to quickly assimilate & comprehend information and deliver within strict deadlines and high pressure
- We offer you an exciting and challenging internship in an interesting and dynamic field starting in January 2020 for a duration of 12 months (part-time)
- We support your professional and personal development
- We guarantee an internship allowance of minimum EUR 1.600 gross per month (on a full-time basis)
- Discover and enjoy the benefits of Erste Group
- We are proud to be an equal opportunity employer without regard to age, colour, religion, sex, sexual orientation or national origin. We live diversity
We are looking forward to filling the position at the earliest possible date - apply now! #believeinyourself
Degree of Employment: Part-time
Primary Location: Vienna
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