Model Analytics Senior Officer

2 weeks ago


Bucharest Metropolitan Area, Romania Garanti BBVA Romania Full time €40,000 - €80,000 per year

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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