Requirements:

• Bachelor’s degree, preferable in Economics or Mathematics;
• Minimum 2-3 years’ experience in development, implementation or monitoring of models, such as: rating analysis, behavior analysis, monitoring reports for rating models, parameters calculation (PD, LGD, conversion factors);
• Good knowledge of regulations related to the requirements for calculation of risk parameters (PDs, LGDs);
• Knowledge of financial mathematics and experience with data modelling tools and methods (statistics, regression analysis and R) is a plus;
• Good knowledge of MS Office and other applications for data processing;
• Medium to advance English level knowledge;
• Ability to organize, analyze and synthesize data.

 

Key responsibilities:

• Defines and implements the risk models according to the regulatory requirement, Group standards or best practices;
• Analyses, validates risk models and automatic decision tools;
• Verifies and validates back testing models and stress testing methodologies;
• Evaluates the risk parameters, calibration and periodic back testing analysis;
• Manages the development and subsequent tracking of projects in the area;
• Provides technical support for the implementation of monitoring and reporting requirements.

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