Credit Risk Model Developer

Your career opportunity

The Credit Risk Model Developer role supports end-to-end management of investment, wealth and lending products within International Wealth and Premier Banking. The role works as a quantitative credit-model specialist, delivering strategic initiatives, governance requirements and issue resolution for credit-model categories.

Work from the Krakow or Warsaw office is possible.

What you’ll do

• Conduct in-depth research to develop quantitative models supporting credit risk for lending products, portfolio management, stress testing, investment strategies and risk management.
• Enhance future-state methodologies for credit models as a credit-risk expert.
• Manage and lead modelling activities related to the development, implementation and maintenance of credit models.
• Develop and maintain Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models for IRB-A purposes; Point-in-Time (PiT) models for IFRS 9 Expected Credit Loss (ECL); and stress-testing models.
• Perform model maintenance, monitoring and periodic reviews; support queries from Second Line of Defence, Audit and regulators; deploy model changes; and execute models for stress testing.
• Work on model-related standards, policies, processes, methodologies and governance.
• Improve efficiency and reduce manual processes through automation.
• Interpret regulatory requirements to identify and measure model risks.
• Collaborate with Compliance, Legal, Risk, Chief Control Office, Senior Management and Group Procurement.
• Ensure Basel III reforms are implemented effectively and in full compliance across relevant portfolios.

What you need to have to succeed in this role

• Strong, proven leadership skills for developing and maintaining stakeholder relationships.
• Excellent relationship-management, diplomacy, communication, influencing, negotiation, documentation, verbal presentation and communication skills.
• Understanding of business dynamics and portfolio-management techniques.
• Extensive financial-industry experience specialising in credit-risk modelling and regulatory compliance, including the Basel III Reform package.
• Proficiency in Python, SQL, R and SAS.

Preferred

• Experience with wholesale or high-value retail portfolios.
• Experience in portfolio management, model-risk management and regulatory reporting.
• Advanced degree and relevant certifications such as CFA, FRM or CQF.

What we offer

• Monthly gross pay range: 15,858 PLN–19,825 PLN.
• Discretionary variable pay influenced by group, business/function and individual performance.
• Comprehensive benefits covering healthcare, family-friendly leave, pension and life assurance.
• Recognition awards.
• Multisport card.
• Private medical care.
• Life insurance.
• One-time reimbursement for home-office setup, up to 800 PLN.
• Cafeteria platform.
• Employee assistance program.
• Additional contributions to the PPK scheme.
• Corporate parties and events.
• CSR initiatives.
• Nursery discounts.
• Financial support for training and education.
• Social fund.
• Flexible working hours.
• Free parking.

Recruitment process

• Online behavioural test.
• Telephone screen.
• Interview with the hiring manager.