The role involves developing end-to-end credit risk models for parameters such as PD, LGD, and EAD under IFRS9 and IRB regulations
Job Summary
The role involves developing end-to-end credit risk models for parameters such as PD, LGD, and EAD under IFRS9 and IRB regulations.
Candidates will lead a team to create stress test scenarios incorporating macroeconomic, climate, and sectoral factors while ensuring regulatory compliance.
The position offers a hybrid work model with flexible hours, competitive compensation, and access to global training platforms like Santander Open Academy.
Matching Summary
The role involves developing end-to-end credit risk models for parameters such as PD, LGD, and EAD under IFRS9 and IRB regulations.
Salary
Competitive salary; Performance-based bonus; Preferential banking conditions and wellness benefits
Skills & Requirements
Must-have
10 years experience in risk modeling
End-to-end model development IFRS9 IRB
PD LGD EAD parameter modeling
Stress test scenario development
R Python SAS programming skills
Team management of internal and consulting staff
Nice-to-have
Machine learning algorithm knowledge
Climate risk modeling expertise
High level English proficiency
Disruptive thinking capability
Macroeconomic analysis skills
Key Requirements
10 years professional experience
Bachelor's degree in Engineering Mathematics Statistics Physics or Economics