Job expirat
Our client - a leading European commercial bank with an international network spanning 50 markets, with about 8,500 branches and more than 147,000 employees.
In Romania, is one of the main financial institutions, providing services and quality products for all client categories.
Position Mission:
• Develops specific methodologies, models and instruments for credit risk
• Implements Basel requirements
Key responsibilities:
Activities related to internal models development:
• Defining a consistent methodology for Basel III default events identification;
• Design, selection and implementation of the models used in the rating process:
- Development/ refinement of local internal models for Probability of Default (PD);
- Development/ refinement of local internal models for Exposure at Default (EAD);
- Development/ refinement of local internal models for Loss Given Default (LGD);
• Support for the understanding and formalization of the methodological framework of the model for calculating the economic capital requirement, for the credit risk, financial risk and real estate risk;
• Performing stress tests simulations for the Key Risk Indicators (forward looking and reverse looking);
• Implements the procedures which ensure accurate usage of the rating clusters definitions and risk groups in a constant and coherent manner;
• Implementation of specific action plans for deficiencies remediation;
• Periodical analysis of relevant reports related to all above-mentioned activities.
Activities related to internal models validation:
• Constant review of the models used in the rating process:
- Validation/ monitoring of local internal models for Probability of Default (PD);
- Validation/ monitoring of local internal models for Exposure at Default (EAD);
- Validation/ monitoring of local internal models for Loss Given Default (LGD);
• Definition and implementation of the data quality framework for the credit risk parameters;
• Monitoring and supervising the correct use of risk parameters;
• Design specific action plans for problems or deficiencies remediation;
• Periodical analysis of relevant reports related to all above-mentioned activities.
• Active contribution to the risk projects implementation, at local and Group level;
• Constant communication to all business lines regarding the portfolio evolution.
Requests:
- Economical studies, graduate and post-graduate, preferably in Statistics / Cybernetics /Math or other applicable quantitative field
- + 4 years of banking experience in credit risk model development or validation at a bank, financial institution or comparable experience consulting to financial institutions
- Experience and familiarity with stress testing requirements
- Experience with a variety of asset portfolios
- Very good theoretical and practical expertise in risk modeling and statistics
- Very good knowledge of the legislation in force with direct impact on the job responsibilities, both at local and European level
- Very good project management skills
- Advanced Statistics knowledge
- Very good knowhow on Base III
- Advanced programming skills in SAS, SQL, VBA; MS Office skills (Access, Excel, Power Point)
- Advanced English
Monthly gross salary :1500 - 2000 €
Location : Bucharest, Romania
We offer consultancy activities