Descrição da Função

Adecco Recruitment is hiring an Credit Risk Modeller for an international client based in Maia.

Responsibilities

      Develop and maintain credit risk assessment models across the entire process (Acceptance, behavior, collection)

      Develop models used for calculating provisions and capital requirements

      Provide modeling assistance and consulting services to JV/SF entities

      Produce Basel risk indicators

      Design and adjust statistical credit risk models across all SFS portfolios, in line with the regulatory requirements of the various regulators (ECB, ACPR, etc.) and their evolutions, and the requirements in terms of performance and robustness of these models.

o  Develop models for estimating IRB risk parameters necessary for calculating Capital Requirements (PD, LGD)

o  Develop models for estimating IFRS9 risk parameters necessary for calculating provisions (PD, LGD, EAD)

o  Develop behavioural models necessary for estimating IRB and IFRS9 parameters

o  Develop credit scoring, recovery scoring, and overall, all models (or studies) related to Credit Risk Decision Support

      Document all modelling work and report

      Maintain and ensure the development of the various internal tools and macro-programs used for modelling (reporting and estimation) and update the user guides and instructions for the various modelling tools.

      Propose methodological improvements aligned with the methods and tools within the framework of partnerships.

      Update and ensure the consistency of Basel risk indicators (Default Rate, Loss Rate, etc.).

Profile

Bachelors degree and/or Masters degree (or higher education) in Accounting, Finance, Economics or Management (required);

Strong Knowledge of SQL, Phyton

Strong knowledge in Credit Risk Area;

Fluent in English written and spoken (required)

Strong knowledge of Microsoft Excel (required);