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Model Validation Scientist Expert (all genders)
Location:
Vienna
Working-Hours:
Full-time
Occupation Area:
Risk management
Company:
Erste Group Bank AG
Erste Group was founded in 1819 as the first Austrian savings bank and today it is one of the largest banking groups in Central and Eastern Europe (CEE). As an attractive employer, Erste Group offers interesting career opportunities in an international environment.
The Model Validation unit is responsible for establishing validation methodologies and standards for AI/ML models used throughout Erste Group, with a specific focus on credit (i.e., IRB, IFRS 9, Pillar 2) and operational risk (i.e., AMA) use areas. The purpose of the Model Validation unit is to critically and independently challenge models used for regulatory and internal purposes.
Your Tasks
- Setting the group-wide validation methodology and standards for AI/ML models with a specific focus on credit (i.e., IRB, IFRS 9, Pillar 2) and operational risk (i.e., AMA) use areas
- Implementing the validation methodologies and standards in a dedicated analytical environment
- Continuously improve and maintain group-wide validation methodology and validation architecture
- Conducting independent model validation and tracking the validation process
- Ensuring internal communication and cooperation for successful validation
Your Background
- Master's degree or equivalent in natural or economic sciences with focus on mathematics, statistics, econometrics, or finance
- At least 7 years of experience in the validation or development of statistical models in large corporation, preferably in credit risk models area
- Substantial knowledge of relevant regulations and industry best-practices in credit risk development and validation
- Excellent programming abilities with languages such as Python, R, or SAS, at an advanced level
- Strong team collaboration and demonstration of a change agent role
- Proficiency in presentation, problem-solving, and knowledge transfer skills
- Ability to communicate complex topics fluently in both written and spoken English
Our Offer
- Be an integral part of a successful high-performance team that is working on exciting and challenging tasks in international environment
- We support your professional and personal development
- Discover and enjoy the benefits of Erste Group
- The minimum wage for this full-time position in accordance with the collective agreement with complete fulfillment of the functional profile is EUR 48.323,-- gross per year. But this is just a formality - we would be happy to talk about your actual salary in person!
- We offer our employees the opportunity to divide their hours between working from home and at the office.
- We consider the diversity of our employees as key to innovation and success. As employer we are proud to offer everyone equal chances, irrespective of age, skin colour, religious belief, gender, sexual orientation or origin.