Credit Risk Methodology and Modelling Lead
nr ref: 275/11/2024/KK/89144
W Antal zajmujemy się rekrutacją od ponad 20 lat. Dzięki działaniu w 10 wyspecjalizowanych dywizjach, świetnie orientujemy się w aktualnych trendach branżowych. Precyzyjnie określamy specyfikę stanowiska, klasyfikując kluczowe umiejętności i niezbędne kwalifikacje. Naszą misją jest nie tylko znalezienie kandydata, którego kompetencje wpisują się w wymagania danego ogłoszenia, ale przede wszystkim stanowiska, spełniającego oczekiwania kandydata. Numer rejestru agencji zatrudnienia: 496.
Credit Risk Methodology and Modelling Lead
Location: Cracow
Contract Type: B2B
Work Model: Hybrid working model (One day from the office in Krakow)
This role will be responsible for credit risk methodology development within the Credit Risk team. The focus will primarily be on supporting stress-testing (ST) and IFRS 9 methodology development, with additional work in other areas as needed. The role holder will need to develop a comprehensive understanding of risk data flows, from customer and product systems through to finance and regulatory reporting systems. Collaboration with finance, business, and other risk teams will be essential in producing portfolio and impact analysis, as well as supporting UAT testing. The role also includes providing implementation support for proposed credit risk methodologies and/or models.
Key Responsibilities:
The role holder will be responsible for:
- Leading the development and enhancement of PD, EAD, LGD, scoring models, and RWA/ECL calculation frameworks, ensuring robust data sourcing, model development, implementation, and execution support.
- Designing and executing comprehensive impact analyses for the calculation of Risk Weighted Assets (RWA), Expected Loss (EL), and other critical risk measures, providing strategic insights to senior management.
- Overseeing the development and testing of complex programs, dashboards, and tools in alignment with business specifications, driving innovation and efficiency.
- Collaborating closely with the Independent Model Review team throughout the model development, monitoring, and review processes to ensure compliance with best practices.
- Leading the execution of periodic IFRS9/ST regulatory exercises, managing internal processes, and conducting thorough analyses of results produced by IFRS9/ST engines to inform decision-making.
Requirements:
Experience:
- Minimum 8 years of credit risk analysis experience, with a proven track record in leadership roles.
- Extensive exposure to credit model methodologies, data requirements for AIRB, IFRS 9, or stress testing modeling, with a deep understanding of their implications on risk management.
- Proven ability to take ownership of complex data-related issues, providing innovative solutions and driving improvements.
- Strong experience with databases and credit risk systems, including proficiency in coding with Python, SAS, MS Excel/VBA, and SQL.
- In-depth understanding of regulatory rules, model governance, and controls.
- Relevant work experience in a bank, rating agency, consultancy, or advisory firm.
Skills:
- Exceptional attention to detail and accuracy, with a commitment to delivering high-quality results.
- Proven ability to manage complex projects under tight deadlines, demonstrating strong organizational skills.
- Excellent communication skills, with the ability to convey technical concepts to both technical and non-technical stakeholders.
- Strong collaborative skills, with the ability to work effectively as part of a team and engage with key customers and stakeholders.
- Fluency in written and spoken English, with outstanding documentation, presentation, and communication skills.
- A strategic mindset, with the ability to influence and drive change within the organization.
