Senior Data Scientist Position Overview
The Bank is seeking a seasoned data scientist to play a pivotal role in shaping its future. This key position will be responsible for developing and maintaining credit risk quantification models, ensuring they align with IFRS9 Expected Credit Loss (ECL) requirements.
This encompasses the design, implementation, documentation, and maintenance of the models, ensuring they meet the Bank's high standards. The Senior Data Scientist will work closely with various departments to provide critical analyses and support key reports.
Key Responsibilities:
* Develop and maintain credit risk quantification models, including design, implementation, and maintenance.
* Assist in producing modelled ECLs and overlays, ensuring accurate and timely results.
* Provide critical analyses to support business decisions and drive strategic initiatives.
* Conduct comprehensive credit risk stress testing for the Internal Capital Adequacy Assessment Process (ICAAP) and participate in EU-wide Stress Testing (EBA) initiatives.
* Develop and improve Stress Testing models used to forecast key risk indicators.
* Perform macroeconomic analyses to support stress testing and projection processes.
Requirements:
* Master's degree in mathematics, actuarial science, finance, statistics, or economics; PhD preferred.
* Advanced knowledge of IFRS9 requirements and regulations.
* Expert programming skills in Python, with experience in version control systems (Git).
* Familiarity with Dataiku and proficiency in MS Excel and SQL.
* Strong analytical profile, rigorous, and well-organized, with excellent problem-solving skills.
* Results-oriented mindset, with ability to deliver on time and collaborate effectively with multidisciplinary teams.