Credit Risk Analyst

  • Job Reference: R-00116979
  • Date Posted: 22 February 2021
  • Employer: RBS
  • Website: http://www.jobs.rbs.com
  • Location: Warszawa
  • Salary: On Application
  • Sector: Accounting, Banking & Financial Services
  • Job Type: Full Time

Job Description

Join us as a Credit Risk Analyst

  • As a Credit Risk Analyst, you’ll be validating credit risk models, including PD, EAD, LGD, time series models and advising on how model risk can be mitigated
  • You'll support the review and validation of assigned Credit Risk and Finance models, such as IRB, ST, IFRS9, customer pricing and planning, relating to Wholesale, Commercial and Retail portfolios ​
  • You’ll gain great exposure to Wholesale, Commercial and Retail portfolios, and have the opportunity to develop key relationships

What you'll do

In your new role, you’ll report on the findings of model risk management reviews, making sure it suits your audience, which will include senior management, regulators, model developers, and end-users.

You’ll also be:

  • Playing an active part in the development of alternative models, promoting the risk appetite in relation to model risk
  • Making sure that models are appropriate and risks are identified, communicated and mitigated
  • Performing supplementary analysis to satisfy regulatory or other queries

The skills you'll need

We’re looking for someone with experience in data quality review, model review or model development. You’ll also theoretically know the principles followed in linear regression, non-linear regression, logistic regression, time series analysis and other financial models.

You’ll need a strong Python programming skills with the ability to use Numpy, Pandas, Pyplot, Bokeh, SQL, Shell and write optimal code for data manipulation, including data quality tests and cleansing. You'll have skills in automate quantitative analysis to develop Python libraries on validation statistical tests and diagnostic tools.

You’ll also need:

  • A masters degree in a quantitative subject such as mathematics, statistics, quantitative finance, economics, computer science or similar professional qualifications
  • To be fluent in English, verbal and written
  • Excellent problem solving and analytical skills
  • The ability to communicate with and influence senior management, and develop effective relationships with a range of internal and external stakeholders
  • The ability to work well as part of a team and under the guidance of other team members, to deliver successful on-time outcomes consistent with industry leading practices