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Senior Credit Risk Modeller

  • Job type: Permanent
  • Location: Vienna
  • Salary: Competitive
  • Job reference: JHED12
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 14/02/2018
Senior Credit Risk Modeller

A leading Investment bank, with their financial hub based in Vienna, Austria, are currently looking to hire a number of Senior Credit Risk modellers. The role will be covering the development of Wholesale IRB models - therefore experience in this will be key for any candidates looking to apply. The role is likely to develop through the year due to the expansion of their credit risk modelling team, therefore there is potential for management of a small team of junior modellers. 

The Credit Risk modeller will report to the Head of Credit Risk analytics and one of the initial duties will be to lead a PD modelling project. The group head is looking for a candidate with excellent coding, modelling and communications to deal with the technical aspects of the models and the interactions across multiple groups.


Responsibilities of the role will include:
  • Hands-on end to end development of PD/LGD/EAD models
  • Senior project lead for managing the PD project
  • Key point of contact for senior stakeholders in other modelling teams
  • Assist in improving existing models and make sure they are compliant with regulatory requirements
  • Supporting the hiring, training and mentoring of junior quants
Key Requirement:
  • 4+ years experience working across Wholesale credit risk modelling (PD/LGD/EAD models) 
  • Knowledge of IFRS9 is desirable.
  • Programming Skills: R/SAS, SQL
  • Professional qualification or education to high standard, preferably 


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