Job Description
- Work with large datasets for model development and data analysis.
- Develop Basel and IFRS 9 compliant PD (Probability of Default), EAD (Exposure at Default), and LGD (Loss Given Default) models; actively participate in data preparation, cleaning, segmentation, model building, testing, and calibration phases.
- Develop and monitor macro‑economic stress‑test models.
- Actively contribute to model documentation preparation.
- Monitor the performance of models in production.
- Maintain continuous communication with model users, evaluate feedback, and take corrective actions when necessary.
- Play an active role in credit‑risk stress‑test activities.
- Provide support for ISEDES projects.
- Keep up‑to‑date with developments, innovations, regulatory rules, and best practices in risk management (especially model development).
General Requirements
- Preferably a graduate of Statistics, Econometrics, Economics or other quantitative science programs, preferably with a master’s degree.
- Proficient in MS Office applications (especially Excel) and capable of using programming languages such as Python and SQL, or statistical packages like SAS Enterprise Guide and SAS Miner.
- Competent and experienced in developing Basel and IFRS 9 compliant PD, EAD, LGD, and scoring models.
- At least three years of hands‑on experience in advanced analytical applications within statistics and econometric modeling.
- Good written and spoken English skills.
- Analytical thinking.
- Team‑oriented.
- Inclined to conduct research, data review, and source scanning.
- Open to self‑development.