Role overview
The Advanced Analytics and Risk Modelling team is working together with Risk teams across the Nordics, ensuring that the model developments and related controls are following the highest of standards and implemented and monitored for all the products in each country under the same governance. The team is responsible for the following areas:
- Development of regulatory parameter models for calculation of capital (IRB PD, LGD, EAD)
- Development of scoring and rating models for underwriting, customer behaviour and other purposes (e.g., Fraud, Collections, etc.)
- Development of parameter models used for the calculation of expected credit losses (PD, LGD, EAD)
- Development of Stress Test Models
- Model management, planning and governance
- Artificial Intelligence, Machine Learning and related innovation initiatives with key focus on the area of credit risk
What you'll work on
- Delivering state of the art Models in a timely manner
- Improved calibration, stability and separation/predictive power of models through model re-calibrations, adjustments and re-developments
- Challenger modelling deliveries on projects
- Monitoring and back-testing of assigned models
- Collaborating with colleagues across the organisation to better understand business and data and ensure proper communication around deliveries
- Ad-hoc reporting and analytical tasks
Tags & focus areas
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