Retail Risk Model Development and Methodology Manager (f/m/x)

What you can expect:

The Retail Risk Analytics and Methodology Department (RRAM) is part of the International Retail Risk Division of RBI and is responsible – among other topics – for the development and implementation of various retail risk methodologies throughout the RBI Group. These cover the development of credit risk models (PD, LGD, EAD) and macro-economic models, as well as their usage for capital requirements calculations (A-IRB and ICAAP), IFRS 9 impairment calculation, stress-testing and risk-based pricing. Further to establishing the Group standards in retail credit model development, the team members of the RRAM Department also develop credit risk models with Group-wide importance or as a service for selected RBI subsidiaries.

We are looking for motivated Experienced Retail Risk Model Development and Methodology Managers to support the activities of the department. The ideal candidate has already gained some years of relevant experience and next to the excellent academic background possesses also a sound business acumen. Strong junior candidates`applications are also very welcome.

 

• Contribute to or be responsible for the development of Group-wide policies and methodologies for development and calibration of retail credit risk models, e.g. credit scorecards, PD, LGD, ELBE and EAD parameter models, macro-economic models.
• Support the subsidiaries of RBI Group in the interpretation and implementation of such methodologies into concrete credit risk models
• Develop, calibrate and document credit risk models for retail portfolios with application in capital planning, IFRS 9 impairment and stress-testing for selected RBI subsidiaries
• Interpret and transpose the regulatory requirements for IRB and ICAAP compliance into standards for the RBI Group, support and oversight of the implementation of these standards
• Participate in internal brainstorming discussions, research and development of new model development methodologies
• Demonstrate compliance of the Group-wide retail risk methodologies and concrete model designs and outputs to regulatory authorities and auditors
• Report and present to RBI Group Risk Committee the outcome of the model developments for the retail rating systems and models in RBI Head Office
• Support strategic projects and activities in the RRAM Department and RBI Group

What you bring to the table:

• Uni­ver­si­ty degree in Math­e­mat­ics, Sta­tis­tics, Econo­met­rics, Infor­mat­ics or Eco­nom­ic sci­ences with strong quan­ti­ta­tive focus
• Pro­fes­sion­al expe­ri­ence in risk man­age­ment of a bank, finan­cial insti­tu­tion or con­sul­tan­cy com­pa­ny with quan­ti­ta­tive focus
• Pri­or expe­ri­ence in the area of cred­it risk mod­el devel­op­ment or validation
• Expe­ri­ence in defend­ing own mod­els in reg­u­la­to­ry or audit exam­i­na­tions is high­ly appreciated
• Strong pro­gram­ming expe­ri­ence with SAS or oth­er sta­tis­ti­cal software;
• Excel­lent ana­lyt­i­cal and quan­ti­ta­tive prob­lem-solv­ing skills
• Abil­i­ty to com­mu­ni­cate com­plex mat­ters effec­tive­ly in Eng­lish – both ver­bal­ly and in writing
• Abil­i­ty to work effec­tive­ly and col­lab­o­ra­tive­ly in a dynam­ic environment

What we offer:

• You’ll work in an inter­na­tion­al team at a lead­ing bank
• You’ll ben­e­fit from flex­i­ble work­ing arrange­ments and deter­mine your own work-life balance
• You’ll ben­e­fit from the very lat­est in tai­lored pro­fes­sion­al development
• You’ll earn an appro­pri­ate salary start­ing at EUR 60,000 gross p.a. includ­ing over­time (senior level)

RBI AG is com­mit­ted to cre­at­ing a diverse envi­ron­ment and is proud to be an equal oppor­tu­ni­ty employ­er. All qual­i­fied appli­cants will receive con­sid­er­a­tion for employ­ment with­out regard to age, eth­nic­i­ty, race or col­or, nation­al ori­gin, reli­gion, polit­i­cal or oth­er opin­ion, gen­der, sex­u­al ori­en­ta­tion or disability.

Retail Risk Mod­el Devel­op­ment and Method­ol­gy Manger

We are look­ing for­ward to receiv­ing your online application!

jobs.rbinternational.com

 

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