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Model Validation Scientist (all genders)

Location: Vienna

Working Hours: Full-time

Occupation Area: Risk management

Company: Erste Group Bank AG

Benefits

Sports and leisure
Financial services
Employee Share Program
Success through diversity
Health Center

Erste Group was founded in 1819 as the first Austrian savings bank and is today one of the largest stock-listed banking groups in Central Europe. As an attractive employer, Erste Group offers interesting career opportunities in an international environment.

The Model Validation unit is responsible for establishing validation methodologies and standards for AI/ML models used throughout Erste Group, with a specific focus on credit (i.e., IRB, IFRS 9, Pillar 2) and operational risk (i.e., AMA) use areas. The purpose of the Model Validation unit is to critically and independently challenge models used for regulatory and internal purposes.

Your Tasks

• Contribute to setting the group-wide validation methodology and standards for internal models with a specific focus on credit risk (i.e., IRB, IFRS 9, Pillar 2)
• Implementing the validation methodologies and standards in a dedicated analytical environment
• Continuously improve and maintain group-wide validation methodology and validation architecture
• Conducting independent model validation and provide valuable feedback for the continuous improvement of internal models, ensuring the decision-making process is based on sound and quantitative-based evidence

Your Background

• Minimum 3 years of experience in model validation or development of statistical models in a large corporation, preferably in the credit risk area
• Master's degree in mathematics, statistics, econometrics, finance or a related quantitative field
• Strong understanding of model development and validation frameworks as well as relevant regulations (e.g. IRB, IFRS 9)
• Strong analytical skills and the ability to interpret results critically and clearly communicate findings
• Strong programming skills in Python. Experience with DataBricks is a strong plus.

Our Offer

• If you describe yourself as a change agent who loves to solve problems together with us, this might be the right spot for you!
• Be an integral part of a successful high-performance team that is working on exciting and challenging tasks in an international environment
• Discover and enjoy the benefits of Erste Group
• The minimum wage for this full-time position in accordance with the collective agreement with complete fulfillment of the functional profile is EUR 49.772,80 gross per year. But this is just a formality - we would be happy to talk about your actual salary in person!
• We offer our employees the opportunity to divide their hours between working from home and at the office.
• We consider the diversity of our employees as key to innovation and success. As employer we are proud to offer everyone equal chances, irrespective of age, skin colour, religious belief, gender, sexual orientation or origin.

Contact

Barbara Mateju

Apply online