Credit Risk Modeling Expert

4 days ago


Kraków Warszawa, Czech Republic Antal Full time

At Antal, we are seeking a seasoned Credit Risk Modeling Specialist to join our Client's growing team.

About the Role

The successful candidate will lead the development and enhancement of probability of default (PD), exposure at default (EAD), loss given default (LGD) models, as well as risk-weighted asset (RWA) and expected credit loss (ECL) calculation frameworks. They will ensure robust data sourcing, model development, implementation, and execution support.

This role requires designing and executing comprehensive impact analyses for the calculation of RWA, EL, and other critical risk measures. The specialist will provide strategic insights to senior management and collaborate closely with the internal Independent Model Review team throughout the model development, monitoring, and review processes.

Key Responsibilities
  • Develop and enhance PD, EAD, LGD models, and RWA/ECL calculation frameworks
  • Design and execute comprehensive impact analyses for RWA, EL, and other risk measures
  • Collaborate with the internal Independent Model Review team
Requirements

To be successful in this role, you will need:

  • Experience with IFRS and regulatory requirements
  • Strong testing and risk management skills
  • Proficiency in programming languages such as Python, SAS, and SQL
  • Knowledge of MS Excel and VBA

We offer a competitive salary and a range of benefits, including private medical cover, life insurance, and a multikafeteria system. If you are passionate about credit risk modeling and want to take your career to the next level, please apply today.



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