A global bank is seeking a Quantitative Risk Modeler for their Retail Credit Risk portfolio in Vienna. will drive the development of Credit Risk Methodology & Framework, and be responsible for the monitoring of the rating / risk processes of the bank. In the context of IRB modelling, you would play a key part in developing the PD, LGD and EAD models, as well as credit risk models (PD, LGD, EAD) and macro-economic models with regard to the ICAAP and IFRS9.
- Be responsible for the maintenance of the Rating Methodology and Risk processes
- Be a key person in identifying and implementing key regulatory requirements
- Participate in the Rating process for the Retail portfolio and technical projects related to the Risk Control Unit
- In the context of IRB modelling, engage in the model development of the PD and LGD for the Retail portfolio
- Monitoring of the risk measurement methods used to estimate PD and LGD
- Participate in the rating process and the technical continuous monitoring and adaptation to regulatory requirements
- Guide and advise junior members on the team
- Advanced degree or equivalent in a mathematical, physical or econometric field.
- 3 or more years' experience working in Risk Modelling or Risk Controlling, and strong understanding of IRB models
- Strong programming knowledge in SAS, R or Python
- English speaking