Senior Credit Risk Data Scientist

Senior Credit Risk Data Scientist

Role Overview: Join our Credit Risk Modelling team to drive cutting-edge analytical solutions in response to increasing regulatory expectations, such as IFRS 9 and stress testing. We are seeking an experienced professional with a strong quantitative background to develop advanced machine learning and financial models that enhance our credit risk management capabilities.

Your Responsibilities:

• Model Development: Develop and monitor advanced PD, quantitative and credit risk models, incl. portfolio models and methodologies applied for IFRS 9 and stress testing.
• Scenario Analysis & Stress Testing: Engage in the design and implementation of stress testing and scenario analysis frameworks.
• Continuous Improvement: Lead and participate in initiatives aimed at refining the bank’s credit risk modeling approaches and improving the robustness of internal models.

Key Qualifications:

• Quantitative Expertise: At least 2+ years of hands-on experience in quantitative modeling, with a focus on credit risk, financial risk management, or a similar domain. If you are familiar with the Vasicek model and credit Value-at-Risk, it is an advantage.
• Technical Proficiency: Demonstrated proficiency with advanced statistical and mathematical software/tools such as SAS, Matlab, Eviews, R, or Python. Experience with SQL Management Studio, P/L SQL Developer is highly appreciated.
• Analytical Acumen: Strong analytical mindset with the ability to develop and maintain complex statistical models compliant with regulatory expectations.
• Advanced Degree: A completed or ongoing advanced degree (MSc, PhD) in Financial Mathematics, Statistics, Applied Mathematics, Econometrics, or a closely related quantitative field, is an advantage. A FRM certificate from GARP is also an advantage.
• Communication Skills: Excellent command of English, both written and verbal, to effectively communicate complex quantitative concepts to non-specialists.

Why Join Us?

• Perfect opportunities for professional and career development in the leading retail bank in Bulgaria
• Dynamic and challenging position offering freedom to present and accomplish your bright ideas
• Competitive remuneration and attractive bonus scheme
• Additional health insurance including dental care
• 200 BGN food vouchers
• 25 days annual paid leave
• Preferential terms for our banking services, incl. mortgage loans
• Attractive discounts with popular retailers for our employees
• Preferential Multisport card
• Healthy working environment within a great team of professionals and modern office building in the heart of the city center next to the former royal palace
• Various opportunities for learning and further development of the professional skills and competences

Want to become part of our team? If you find this proposal interesting, please send your CV. Shortlisted candidates will be contacted afterwards.