Senior Credit Risk Model Analyst
Nordea Bank AB / Bankjobb / Stockholm
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Visa alla bankjobb i Stockholm,
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hela Sverige Visa alla jobb hos Nordea Bank AB i Stockholm,
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hela Sverige As a Senior Credit Risk Model Analyst you are responsible for maintaining and developing Nordea's credit risk models.
You will be part of a dedicated team working with quantitative analysis to manage and develop the FSA approved models for credit risk (Advanced- and Foundation Internal Ratings Based). Ensuring compliance and developing IT and credit risk related capital adequacy models.
As Nordea is approved to model its regulatory capital according to the IRB approach, crucial inputs into the capital assessment are the PD, LGD, CCF and rating models. With regulators being concerned on banks' capitalization, they are increasing their demands on how the PD, LGD, CCF and rating are modelled. This leads to the need for refinement and improvements of models and data. The GCR Corporate Models team is responsible for managing and developing of Nordea's PD, LGD, CCF and rating models.
The PD, LGD, CCF and rating models are being built on vast amounts of credit risk data. Working with data and data quality is therefore a natural part of the work. To fully understand the models, an understanding of the processes generating the credit risk data is required. This is done through collaboration with many stakeholders in Nordea. In addition, the credit risk models are subject to regulation which requires an understanding of the regulatory landscape.
We are seeking a high-performing individual with the following qualifications:
• Academic degree in mathematics, statistics, engineering or economics with a specialization in a quantitative subject like econometrics.
• Minimum 3 years of experience from model development within credit risk or other risk types
• Experience in SAS programming and model development using SAS
• Previous experience from working within projects is an advantage
• Basel II/III experience is meriting
• Proficiency in English
• Team spirit
• Interest to learn and develop
The position will be based in Stockholm or Copenhagen.
Group Credit Risk Models is Nordea's competence center regarding the Group's credit risk models. The unit drives development and maintenance of the models used in Nordea. Group Credit Risk Models strives for harmonisation and provides expertise to Business Areas when implementing models. The unit's overall vision is to create a common credit culture in Nordea that enables business in a prudent way and ensures no surprises.
Publiceringsdatum2017-02-27Så ansöker duSista dag att ansöka är 2017-03-20
Klicka på denna länk för att göra din ansökanKontaktAlexander Petrov
FöretagNordea Bank AB
AdressNordea Bank AB
Smålandsgatan 17
10571 STOCKHOLM
KontorsadressSmålandsgatan 17
Jobbnummer 3342753
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