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Organizational model of the Internal Validation Unit:
Structure, direct reporting line to CRO ensuring full segregation of Validation from Model Development;
Managerial reporting line to Group Internal Validation and centralized steering of validation activities;
Constant interaction with the Group Internal Validation team, ensuring adoption of best practices and high standards in validation.
Ref Number 2021.10.11 Risk Validation Expert
Изисквания за длъжността
Independent validation of all risk models, including credit risk (PD/LGD/EAD), as well as other model types (e.g. IFRS9) which includes performance of model validations and oversight of any independent internal or external model validations;
Interact with and advises modelling functions regarding credit risk modelling activities and Machine Learning algorithms;
Use techniques from quantitative risk management, statistics and econometrics in order to assess and validate predictive models;
Verify the data model with focus on accuracy, consistency, completeness and timeliness;
Based on qualitative and quantitative analysis will formalize the validation results in documentation and professional reports concerning validation activities for models, data, IT and processes.
Strong academic background, including a degree in mathematics, statistics, econometrics, computer science or related fields;
Technical skills in one of the following tools will be considered as advantage: SAS/R/Python/SQL;
Strong analytical and technical skills oriented towards data processing, machine learning, advanced analytics and Big Data;
Experience in modelling or auditing PD/LGD/EAD or IFRS9 models will be considered as strong advantage;
Critical thinking: being able easily to identify deviations from the predefined guidelines;
Strong multi-tasking and project management skills;
Self-motivation and easy-going team player personality;
Excellent English written and oral communication skills.
Place of work: Sofia, Bulgaria.
Only shortlisted candidates will be invited!
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