Date: 09 December 2021
Deadline: 09 January
2021
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
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