Senior Credit Risk Modelling Analyst

BRD
 BUCURESTI, Romania       Permanent contract        Risks

Misiune

Risk Department

Profil

Education:

  • A university degree in a quantitative / finance field

Desired skills & experience:

  • Understanding for credit risk measurement

  • Understanding the details of IFRS9 provisioning and capital allocation requirements

  • Inferential Statistics

  • Probabilistic models (Regression, Markov Processes)

  • Exploratory Data analysis

  • Analytical skills: SAS, R, Python, SQL, VBA

  • Language skills: English

Other competencies:

  • Analytical thinking

  • Capacity to assimilate complex information in short amount of time

  • Results oriented

  • Self-motivated and highly organised

  • Comfortable with first time application of quantitative techniques under the lack of guidelines  


Descriere

Main responsibilities:

  • Development and validation of credit scoring models for Retail / Non-Retail

  • Development and validation of IFRS9 and IRB models (PD, LGD, EAD)

  • Development of business support models (collection, pricing, fraud analytics)

  • ECL, ICAAP and Stress Test calculation support

  • Model implementation, maintenance, documentation and performance assessment

  • Respond to ad-hoc analysis requests in a timely manner, demonstrating clear understanding of credit risk specific measurements

  • Liaise with other risk functions for supporting provisioning, reporting and credit risk assessment processes


We are an equal opportunities employer and we are proud to make diversity a strength for our company. Societe Generale is committed to recognizing and promoting all talents, regardless of their beliefs, age, disability, parental status, ethnic origin, nationality, sexual or gender identity, sexual orientation, membership of a political, religious, trade union or minority organisation, or any other characteristic that could be subject to discrimination.

Job code: 20000GNP
Business unit: BRD
Starting date: 23/10/2020
Date of publication: 22/07/2020
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Senior Credit Risk Modelling Analyst

Permanent contract   |   BUCURESTI   |   Risks