Senior Credit Data Scientist IRBA MODELS
Luxembourg, LU
il y a 5j
source : Monster

Is it time to take your Credit Data Scientist career to a new company to a new company? Our client, an international renowned Bank established in Luxembourg is currently looking for an experienced candidate for the position of :

Credit Data Scientist IRBA models

Permanent position / Banking sector

Your mission :

As a Credit Data Scientist, you will be responsible for the implementation and maintenance of internal database required in the context of credit risk model development / maintenance.

  • You will define and manage business requirements of data flow regarding data used in credit risk quantification.
  • You will be in charge of the implement data quality processes and reports in order to monitor data consistency and quality.
  • You will manage data correction and data improvement requests.
  • You will do the quantification of credit risk parameters involved in the context of the regulatory minimum capital requirements calculation ( regulatory requirements based on the CRD IV - Pillar 1, A-IRB ).
  • You will develop and maintain risk parameters quantification models and the related internal rating system ( IRS ) involved in the capital requirement calculation, according to the regulatory minimum requirements and standards, and their consistency with the internal credit risk processes and policies.
  • You will monitor the internal model performance through regular Backtesting and Benchmarking exercises, and implementation of appropriate actions in order to maintain the required level of model performance.
  • You will be in charge to manage the homologation process of the models involving the supervisory authorities ( CSSF / ECB ), the validation unit and the internal audit.
  • You will manage the implementation and the dissemination of the A-IRB model within the internal system and process of the Bank.
  • You will perform annual regulatory stress test and communication to the senior management of the results.
  • You will ensure and facilitate the integration of the risk parameter assessment and the related tools within the credit risk management process, at the middle office level ( provisioning, RWA calculation, risk reports ) and at the front office level (credit granting).
  • You will collect and manage internal requests (Credit risk, Marketing, Front Office) regarding credit risk model development or improvement.
  • You will contribute with regulatory and internal projects , especially in the context of regulatory change or implementation ( CRR, RTS, IFRS ).
  • Your Profile :

  • You got a degree in quantitative discipline such as statistics, mathematics, econometry or engineering.
  • You have minimum 8 years of experience in a similar role of area risk modeling, especially in credit risk development of PD model WholeSale (mandatory).
  • You have a knowledge of the banking & financial industry, and of the credit products and processes.
  • You have a strong knowledge of regulatory requirements, especially regarding CRD , CRR and IFRS9 .
  • You have knowledge of data management and computational software such as Python ( preferably ), SAS , SQL, Matlab,
  • You are autonomous and have good communication skills.
  • You are fluent in English and French (both mandatory )
  • The offer :

  • An international working environment.
  • The possibility to develop / confirm your experience.
  • Salary in line with the market.
  • Every application will be treated with the utmost confidentiality. Successful applicants will be contacted within 2 weeks.

    If you do not receive any feedback from us within that timeframe, you can consider that your application was unfortunately not successful for this time.

    Sthree Luxembourg is acting as an Employment Agency in relation to this vacancy.

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