The organization seeks a skilled professional to fill the role of Senior Data Scientist.
As a key member of the IFRS9 modeling group, you will be responsible for developing and maintaining credit risk quantification models. This includes design, implementation, documentation, and maintenance of the models.
Your responsibilities will also include assisting in the production of modelled ECLs and overlays, providing analyses to different departments within the organization, and providing input to key reports.
Key Responsibilities:
* Develop and maintain credit risk quantification models, in alignment with IFRS9 Expected Credit Loss (ECL) requirements.
* Assist in the production of modelled ECLs and overlays.
* Provide analyses to different departments within the organization.
* Conduct credit risk stress testing for the Internal Capital Adequacy Assessment Process (ICAAP) and participate in the EU-wide Stress Testing initiatives.
To be successful in this role, you will need a Master's degree in mathematics/actuarial science/finance/statistics/economics, advanced knowledge of IFRS9 requirements, and advanced programming skills in Python.
In addition, you will need to be familiar with version control systems (Git), have advanced proficiency in MS Excel and SQL, and possess a self-starter attitude and analytical profile.
We offer a broad range of challenging projects and a huge choice of career paths. We encourage individual development and provide equal opportunities for all.