Senior Credit Risk Modeler

Job Description & Summary

What will you be doing:

• Work closely with subject matter professionals as part of advisory engagements related primarily to credit risk
• Perform quantitative tasks (model development, validation, research), particularly in credit risk modelling involving scorecards, PD/ LGD/ EAD modelling, stress testing, economic capital models etc.
• Create model documentation describing business use, conceptual approach, mathematical logic, and implementation and testing approach for the model developed
• Develop other quantitative and statistical models based on the client’s business and regulatory requirements
• Build and maintain strong working relationships internally and with client personnel.

What we need from you

• BSc or MSc in Mathematics, Statistics, Computer Science, Financial Engineering, Econometrics, Economics, or another quantitative discipline
• Minimum of 3 years’ experience
• Experience with IFRS 9, BASEL, SAS, R, SQL, Excel-VBA or R Studio
• Ability to understand client challenges and propose value-added solutions.
• Data science and Programing experience
• Ability to understand client challenges and propose value-added solutions
• Strong English and Romanian language skills

What we offer

• Professional development, trainings and career growth opportunities
• International mobility and short-term projects abroad
• A professional and team-oriented work environment
• Up-to-date technologies and methodology
• Competitive salary and attractive package benefits