Senior Credit Risk Modeller

Your tasks:

To further advance the development of new models and enhance existing models, including scorecards, we are looking for a senior credit risk modeller.

· Leading the local model development and ensure the local regulatory requirements are taken into account.

· Liaising with the UK model development team, building relationships with all stakeholders, communicating all business requirements and implications clearly and delivering required output to agreed plans and timescales

· Sparring partner and advisor to senior management

· Ensuring a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements

· Using up-to-date model development standards and processes

· Building and managing effective relationships with colleagues in the wider Risk team and across partnering business functions (such as Modelling and validation functions, Finance, Customer Analytics and Risk Infrastructure)

· Supporting junior colleagues in the development of their modelling skills

· Working pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models

· Delivering all individual key tasks across the model life cycle to agreed timescales with minimal ongoing management, anticipating constraints and taking mitigating actions

Your knowledge/experience:

· Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research)

· Excellent English communication skills both verbal and in writing

· Business reporting and statistical analytical skills to comprehend local systems in SAS and SQL programming language

· Experience related to participation in larger model development projects

· Good understanding on regulatory requirements regarding internal models for retail credit risk - internal ratings based approach (IRB) - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines

· Experience in the development of Retail (Capital) models

· Good knowledge of modern risk management techniques within Retail Banking

· Experience in the extraction and manipulation of data to support risk model development

We offer:

· An international team with colleagues from more than 25 different countries

· An excellent learning culture and opportunity to improve your professional competencies

· Different possibilities to flexibly organise your working hours, e.g. part time, flex time

· Possibility to work from home at any time - also after Covid-19

· Social benefits such as a company pension scheme, life insurance and capital formation contributions

· 30 days holiday as well as 24 and 31 December as non-working days

· Additional benefits such as employer contributions to BVG job ticket, fruit and salad days, free sports activities

· Easily accessible city centre offices, in the vicinity of many shops and restaurants to which you receive a discount