Mathematiker (m/w/d) für Ratingverfahren - IRBA
On-site
Core
Independent validation of Internal Ratings Based Approach (IRBA) models and rating systems to ensure regulatory compliance and assess model adequacy.
Role type
Senior IC quantitative risk model validator
Builds
Validated IRBA rating systems (PD, LGD, CCF) and annual validation reports
Domain
Banking / Regulatory Risk / Credit Risk
Deliverable
production ML models
Required skills
IRBA validation, credit risk modeling, regulatory compliance, statistical analysis, project management
Preferred skills
knowledge of credit business, supervisory law, MS Office, English
Technologies
MS Office
Responsibilities
Conceive, develop, and execute validation of IRBA rating systems; create annual validation reports; ensure regulatory compliance of models; accompany supervisory audits; collaborate in cross-functional project groups.
Seniority
Senior, hands-on IC
