Associate Data Scientist - Low Default Portfolios Models
BBVA
Madrid, Spain
Credit risk models for low default portfolios
Pd, lgd, and ccf model development
Python for data analysis and modelling
The CIB Credit COE is responsible for the development, implementation and maintenance of advanced CIB credit risk models, with a particular focus on Low Default Portfolios (LDP)
Job Summary
The CIB Credit COE is responsible for the development, implementation and maintenance of advanced CIB credit risk models, with a particular focus on Low Default Portfolios (LDP).
We are seeking a motivated Associate Data Scientist to support the development, maintenance and enhancement of credit risk models for Low Default Portfolios (LDP).
The position focuses on contributing to the development of PD, LGD and CCF models, data analysis, and model implementation for LDP portfolios across different asset classes.
Matching Summary
The CIB Credit COE is responsible for the development, implementation and maintenance of advanced CIB credit risk models, with a particular focus on Low Default Portfolios (LDP).
Skills & Requirements
Must-have
Credit risk models for Low Default Portfolios
PD, LGD, and CCF model development
Python for data analysis and modelling
Quantitative modelling and advanced analytics
IRB framework and regulatory requirements
Nice-to-have
Customer Targeting
Empathy
Ethics
Innovation
Proactive Thinking
Key Requirements
2–5 years of experience in analytical roles
Academic background in Mathematics, Statistics, Engineering, Economics, Physics