Wholesale Credit Risk Model Development Review

  • Location

    Kraków, Lesser Poland

  • Sector:

    Corporate & Commercial

  • Job type:


  • Salary:


  • Contact:

    Gorgui Niass

  • Contact email:


  • Job ref:


  • Published:

    3 months ago

  • Expiry date:



  • The environment in which Risk Analytics, and model validation, operates is fast-developing owing to the regulatory pressure of Basel 3/CRD IV, accounting pressures of IFRS 9 which demands ever more comprehensive assessment of models, risk rating systems and measurement of model risk
  • Expertise in highly technical areas (e.g. statistical analysis) is required as well as deep understanding of credit processes, and business products
  • The role needs to identify synergies between the different work tasks (such as validation across IRB, IFRS 9 and stress testing), be able to realize the synergies, manage interconnected projects, and communicate this to the affected stakeholders
  • The ability to communicate technically detailed information simply and clearly so that stakeholders understand the impact upon them is essential
  • Undertaking original research that helps in ensuring the bank's leading position in risk analytics
  • Delivery of model monitoring reports working closely with the wider GRA Team


Work with onsite team to

  • Automate the CCAR models developed by HNAH wholesale team
  • Develop and implement CECL based stress testing framework
  • Perform/support execution of stress testing for CCAR/DFAST/PRA/EBA exercise
  • Develop decks and documents for senior management, IMR, Audit, BRCM, and Regulators etc.
  • Perform Quarterly BAU Stress testing for RMM and Risk Senior Management.
  • Maintain and Manage existing STAT tool and infrastructure
  • Work on migration of the tool to Cloud (PoC completed)
  • Liaise with New Business growth enabling analytical framework to be developed in the tool (new initiatives)
  • Respond on the adhoc requests for analysis/ reports from Business/Risk/Finance management
  • Timely provide response to the regulatory questions during the CCAR exam.
  • New initiative/ POC's undertaken by the team, like including model monitoring and validation framework within the tool

Qualifications & Skills:

  • Academic qualifications that give a strong background in quantitative analysis and programming
  • Strong experience (at least 2 years) in programming on R or Python or Java or C++(R is preferred)
  • Web application development experience
  • Prior experience of development and implementation of statistical models
  • Proficient in working with databases like Microsoft SQL, My SQL etc.
  • Knowledge of credit risk analysis and financial regulations
  • Good attention to detail and accuracy
  • Ability to work as part of a team with key customers and stakeholders

We offer:

  • Stable job in professional team,
  • Interesting path of career in an international organization,
  • Consistent scope of responsibilities,
  • Private health care, employees' benefits.

Please note our advertisements use PQE/salary levels purely as a guide. However we are happy to consider applications from all candidates who are able to demonstrate the skills necessary to fulfil the role.

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