Data Scientist For Credit Risk Modeling

Activities:
• Perform wholesale credit risk model development including IFRS9/ CECL Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) Models. Support UAT testing for the redevelopment of IFRS9/ CECL PD/ LGD/EAD models.
• Analyze stress test results and complete required templates and reporting.
• Responsible for entire lifecycle of collecting data, building and implementing models, and performance tracking.
• Partner with functional business leaders in developing analytical models
• Partner with IT / Data Engineering teams to create deployment road-map
• Independently manage delivery of model development projects by working with business partners across regions / geographies
• Keeping abreast of all regulatory developments together with changes to Group Standards in order to ensure appropriateness of advice
Requirements:
English - Advanced (ESSENTIAL).
· 5+ years of experience of using statistical concepts and (or) machine learning models to solve complex business problems
· Proficiency in SAS / R, Python, JavaScript and MS Office tools like Excel & PowerPoint
· Comprehensive Capital Analysis and Review (CCAR) or Stress Testing experience is desirable but not required
· Experience in development and creation of models. LGD (Loss Given Default) models, reserve models, credit risk models or Stress Testing
· Microeconomic variables | macroeconomic variables.
· Model calibration.
· Risk benchmarking
Work area: Tecnoparque (Azcapotzalco - Near UAM de Azcapotzalco).
We offer:
Direct contract by the Financial Institution.
100% payroll salary
Banking benefits package
20 vacation days per year
SGMM
If you are interested, please send your cv to the publication email with the title of the vacancy.