Credit Risk Modelling Consultant

  • Full Time
  • Warsaw

Website Collabera

Job Description
Must have:

  • An academic degree (BSc or MSc) in econometrics, quantitative methods, statistics, mathematics, physics or a similar quantitative field
  • Sound knowledge of statistical modelling and econometric methods
  • Experience with statistical programming (e.g. Python, SAS)


Experience with:

  • Credit risk model development and/or validation, regulatory (Basel/IRB, IFRS9) and/or non-regulatory (e.g. credit approval models)
  • Modelling of recovery processes
  • Readiness for business trips of about 30% of the working time (around 30% of work requires travelling abroad and joining modelling teams in many ING locations)

Nice to have:

  • Knowledge of financial regulation (Basel, EBA, IFRS9)
  • Knowledge of and experience with advanced statistical techniques such as Bayesian modelling, Monte Carlo, neural networks, etc.
  • Experience with databases, data modelling, data preparation and data quality control is considered a plus
  • Professional certification FRM/PRM/CFA or CQF

Scope of duties:

  • Advising management about modelling topics 25%
  • Improving model development methodology 25%
  • Developing, improving, analysing and documenting credit risk models 25%
  • Monitoring of internal models, backtesting and benchmarking 25%

Other requirements:

  • Strong analytical and problem-solving capabilities
  • Communication and presentation skills, advanced level of English (C1 or above)
  • Independent, creative and pro-active mind-set
  • Keen on innovation
  • Analytical and critical attitude
  • Willing to travel
Location City:
Location Country:
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