Credit Risk Model Development Specialist (all genders)
at Erste Group Bank AG
Wien, W, Austria -
Start Date | Expiry Date | Salary | Posted On | Experience | Skills | Telecommute | Sponsor Visa |
---|---|---|---|---|---|---|---|
Immediate | 21 Nov, 2024 | Not Specified | 23 Aug, 2024 | N/A | Good communication skills | No | No |
Required Visa Status:
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US Citizen | Student Visa |
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OPT | H4 Spouse of H1B |
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Employment Type:
Full Time | Part Time |
Permanent | Independent - 1099 |
Contract – W2 | C2H Independent |
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Contract to Hire – Corp 2 Corp |
Description:
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.
The department Model Methodology & Development is the central function responsible for the development and maintenance of models used in the analysis of credit risk, in particular regulatory Pillar 1 IRB models (e.g. credit scorecards, PD, LGD, ELBE and CCF parameter models), Pillar 2 and IFRS 9 models. It is also responsible for the definition of group-wide model development standards.
Responsibilities:
- Responsibility for the development and maintenance of credit risk models by applying advanced statistical techniques with focus on the Loss Given Default (LGD) and Credit Conversion Factor (CCF) parameters in Pillar 1 IRB, Pillar 2 economic capital and IFRS 9 impairment models for retail customer segments.
- Contribution to the continuous further development of Group-wide credit risk model development standards to ensure state-of-the-art methodology, reflecting research and regulatory provisions.
- Supporting Erste Group subsidiaries in the consistent implementation of such methodology.
- Reporting and presentation to the relevant decision bodies the outcome of modeling activities.
- Demonstrate compliance of models and methodology to validators, auditors and supervisors.
REQUIREMENT SUMMARY
Min:N/AMax:5.0 year(s)
Financial Services
Accounts / Finance / Tax / CS / Audit
Finance
Graduate
Economic, Finance, Mathematics, Statistics
Proficient
1
Wien, W, Austria