
Model Analytics Senior Officer
2 weeks ago
Responsibilities:
- Analysis, implementation and review of risk models and of automatic decision tools;
- Parameters evaluation and calibration, performance of periodic back testing of parameters;
- Definition and implementation of the necessary models (including with group support);
- Periodic calibration of risk parameters (PDs, LGDs, etc);
- Developing models complying with the criteria set out in the methodological rules for risk models of the Bank.
Requirements:
- Economics or mathematics background;
- At least 2-3 years experience in development, implementation or monitoring of models. Either:
credit risk development of financial models;
- Rating analysis;
- Client level scorecards, behaviour analysis;
- Monitoring reports for rating models;
- Migration matrix transition reports, Markov based analysis;
- Parameters calculation (PD, LGD, conversion factors);
- Knowledge of regulations related to the requirements for calculation of parameters;
- Knowledge of statistics and financial mathematics;
- Very good abilities in using Office package and other applications for data processing (Python, Anaconda);
- Fluent in English.
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