Credit Risk ModelerJoin a dynamic team of modelers and statisticians as a Credit Risk Modeler, contributing to the development and enhancement of Retail and Corporate Credit Risk models. In this role, you will work on key credit risk and regulatory topics at the heart of banking, with a direct impact on bank performance (P&L and capital efficiency).
This position offers the opportunity to gain deep expertise in credit risk modeling, banking regulation, and data challenges.
Key Responsibilities
- As a Credit Risk Modeler, you will be responsible for developing, maintaining, and enhancing models used for:
- Credit Origination: scoring and acceptance models
- Customer Behavior: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD)
- Regulatory and Accounting Parameters: IFRS9 (provisioning) and IRB (Basel III)Your main tasks will include:
- Designing, calibrating, and documenting models in line with regulatory requirements and internal standards
- Performing statistical and econometric analyses for model validation and performance monitoring
- Engaging with internal validation teams and stakeholders from co-owned European entities (e.g., BNP PF, Santander)
- Collaborating with IT and local unit teams for model integration and deployment
- Analyzing results of back testing exercises
- Contributing to strategic projects related to credit risk management and regulatory compliance
- Preparing documentation for internal/external audits and regulatory reviews
- Participating in databases' versioning and data quality enhancement.
- Your soft skills will include:
- Analytical mindset, attention to detail, and rigor
- Autonomy, curiosity, and proactivity
- Ability to work collaboratively and communicate effectively with diverse stakeholders
- Your technical skills will include:
- Strong knowledge of statistical techniques
- Experienced in databases, data modelling, data preparation and data quality control
- Familiarity with IFRS9 and IRB frameworks
- Strong writing skills in English
- Tools: SAS, R, Python, SQL
