For our client in the banking sector, we are looking for an LGD/CCF Model Developer (IRB/AIRB & IFRS 9) to join the Credit Risk Modelling team.

Job description - what you’ll do:

Design, develop, and maintain AIRB/IFRS 9 LGD and CCF models across multiple portfolios.
Hold group-wide methodological responsibility for quantitative credit risk models.
Build a forward-looking, cross-functional methodology architecture.
Ensure compliance with regulatory/accounting standards (Basel, IFRS 9) and EBA Guidelines.
Prototype impact and scenario analyses in R/Python and SQL.
Prepare data and conduct statistical/empirical analyses; work with very large datasets, including their aggregation and evaluation.
Produce technical specifications, presentations, and documentation for quantitative credit risk forecasting models.
Manage internal and external communication, including with auditors, regulators, external partners, and rating agencies.

Requirements:

Requirements:
Master’s degree with very good grades in mathematics, physics, econometrics, or related fields.
Strong mathematical–statistical skills and knowledge of the foundations of model development (multivariate statistical methods, stochastic processes, etc.).
Minimum 3 years’ experience in banking, preferably in risk modelling or validation.
Very good coding skills in R/Python and SQL, with experience analysing huge datasets.
Knowledge of credit risk regulations (CRR, EBA GL, IFRS 9).
English C1 level.

Benefits:

LGD/CCF Model Developer (IRB/AIRB & IFR...