Despre echipa noastra
We are more than 6000 people at BCR and each and every one of us is different. We like to believe that our diversity of ideas, attitudes, passions, feelings and origins make our culture more beautiful and our jobs more meaningful!
Summary of the role :
We are looking for someone who is passionate about credit risk analytics , who can ensure a proper development and implementation of regulatory PD, LGD & EAD / CCF models, as well as other credit risk-related models.
As part of the Credit Risk Analytics Department, our new colleague will be heavily involved in the development and maintenance of credit risk models, based on a robust and efficient model governance framework.
Design, develop and calibrate credit risk rating models and risk parameters (PD, LGD and EAD / CCF) in accordance with internal standards and market best practices
Develop and improve IFRS9 models, as well as macro-economic stress test models
Develop other credit risk-related statistical models, e.g. statistical indexing and base price evaluation of the collateral portfolio, fraud analytics
Perform and improve the measurement and monitoring of existing credit risk models
Regularly interact with colleagues, model stakeholders / users, independent validation and internal or external auditors to discuss findings and potential model improvements
Monitor and interpret recent developments in banking regulation (e.g. EBA’s Single Rulebook, ECB’s guide on internal models, IFRS 9 standard etc.
and directly contribute to BCR’s efforts to maintain full compliance with best banking practices including internal policies and governance papers
Required skills :
Strong knowledge in statistics and credit risk mathematical modeling
Comprehensive understanding of the Basel Framework as well as other relevant banking regulations
Proficiency with SAS programming (or other statistical programming language) & SQL
Python / R know-how is a plus
Fluent in English
3+ years in credit risk analytics / quantitative analyses
International working environment with great colleagues
Challenging work on complex and advanced quantitative problems
Career development and possibility to gain experience in different areas of risk modelling and business units
Being part of digital transformation projects which will change the local banking industry
Work-life balance and flexible schedule
Modern office in The Bridge
Private medical insurance;
Between 21 & 27 vacation days depending on your years of experience;
Work from home policy;
Flexible working schedule;
A "free day" for your birthday;