LGD/CCF Model Developer (IRB/AIRB & IFRS 9)

For our client in the banking sector, we are looking for an LGD/CCF Model Developer (IRB/AIRB & IFRS 9) to join the Credit Risk Modelling team.

Job description - what you’ll do:

• Design, develop, and maintain AIRB/IFRS 9 LGD and CCF models across multiple portfolios.

• Hold group-wide methodological responsibility for quantitative credit risk models.

• Build a forward-looking, cross-functional methodology architecture.

• Ensure compliance with regulatory/accounting standards (Basel, IFRS 9) and EBA Guidelines.

• Prototype impact and scenario analyses in R/Python and SQL.

• Prepare data and conduct statistical/empirical analyses; work with very large datasets, including their aggregation and evaluation.

• Produce technical specifications, presentations, and documentation for quantitative credit risk forecasting models.

• Manage internal and external communication, including with auditors, regulators, external partners, and rating agencies.

Requirements:

• Requirements:

• Master’s degree with very good grades in mathematics, physics, econometrics, or related fields.

• Strong mathematical–statistical skills and knowledge of the foundations of model development (multivariate statistical methods, stochastic processes, etc.).

• Minimum 3 years’ experience in banking, preferably in risk modelling or validation.

• Very good coding skills in R/Python and SQL, with experience analysing huge datasets.

• Knowledge of credit risk regulations (CRR, EBA GL, IFRS 9).

• English C1 level.

Benefits:

• Private medical care (including partner and family packages)

• Additional insurance (including group life insurance)

• MultiSport Plus card

• Lunch card

• Annual bonus

• Employee Pension Plan (PPE)

• Access to e-learning platforms

• Extra vacation days for each completed year of work

• 100% sick-pay top-up

• Home-office allowance for electricity and internet

• Flexible working hours

• …and many other attractive perks and benefits