Credit Risk Model Developer (f/m/d)

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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.

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 is responsible for developing and maintaining the methodology behind the estimation of the regulatory credit risk parameters. We are looking for a qualified data manager who can join us in building and improving data management framework and infrastructure together with our IT divisions.

YOUR TASKS:

  • Define 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.
  • Development of SAS tools for automation of data collection
  • 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
  • Provide and 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

YOUR BACKGROUND:

  • Hands-on work-experience as a Quant Modeler and developed/validated credit risk models (PD/LGD/CCF) for financial institutions
  • Strong 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
  • Strong 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
  • Fluent in English; German and CEE languages are of advantage

WE OFFER:

  • We offer you the great opportunity to be a part of successful and committed team
  • Stable working international environment within the largest banking group in the region and healthy work/life balance
  • We support your professional and personal development
  • We guarantee a competitive and performance-related salary dependent on your professional and personal qualifications - we are obliged by law to quote the minimum wage of EUR 34.193 gross per year for this position, in accordance with the respective collective agreement
  • We are proud to be an equal opportunity employer without regard to age, colour, religion, sex, sexual orientation or national origin. We live diversity!

Interested?
We are looking forward to hearing from you!

Degree of Employment: Full-Time

Primary Location: Vienna

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