Responsibilities:

• Development of regulatory models PD, LGD, CCF, EAD;
• Loan portfolio dynamics analysis, vintage analysis;
• Building forecasting and stress testing models;
• Development, validation and monitoring of scoring models (App, Beh, Fraud, Coll, EWS, etc.)
• Building scoring models based on the credit history of borrowers;
• Participating in product and solution development projects using Big Data and Data Science;
• Development of models for predicting deterioration of borrowers' credit quality;
• Participating in client meetings.

Requirements:

• Higher education: mathematics, statistics, finance;
• Experience in developing scoring cards, PD, LGD, EAD regulatory models;
• Profound knowledge of mathematics, probability theory, mathematical statistics;
• Knowledge of major banking risks, including credit risks. Understanding of rating systems and credit risk models;
• Understanding of regulatory requirements of Russian Central Bank to the financial institutions. Understanding of IFRS 9 requirements;
• Experience of Python programming;
• Understanding of the risk indicators: expected losses, Cost of Risk, NPL, Recovery, Roll-rates;
• Knowledge of English at the upper-intermediate level.

Terms:

• Hybrid format of work, the office - m. Kurskaya;
• Flexible start of the day from 8-00 to 10-00;
• Voluntary health insurance;
• Opportunities for professional growth and development.