Date: 09 December 2021




Deadline: 09 January
2021
Work conditions: Full time
Location: Baku
Modelling Risk Specialist/Leading Specialist
  • Perform analysis and conduct empirical research on large-scale data and analyze risk indicators of the bank through relevant mathematical-statistical models
  • Build, validate, document, implement and rebuild: Credit risk models (retail loan origination models, business customer scoring/rating models and loan behavior scorecards), collective Provision and Expected Loss methodologies (PD, LGD, forward-looking model estimations)
  • Develop risk models and tooling to accommodate new products or strategies and enhance existing models where necessary
  • Investigating and applying different methods to market and operational risk measurement (VAR and etc.)
  • Identify stress scenarios on portfolios and make suggestions for applying stress testing results to the allocation of capital reserves
  • Perform ad-hoc analysis on large sets of market data and position information
  • Ensure risk models are properly documented and periodically back-tested
  • High education degree in mathematics, econometrics, quantitative methods or related fields
  • Ability to apply different regression models (e.g., linear, non-linear, log and etc.)
  • Up to 1 year of experience modelling, model validation or quantitative risk function
  • Analytical skills and competence to interpret database to get logical results
  • Ability to prepare and present analysis for different purposes
  • Good programming skills, preferably in Python, R
  • Knowledge of Azerbaijani, English and/or Russian languages
  • Have a professional and transparent business ethics
Job Description
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