We are looking for a Credit Risk Model Validation Specialist who will help us develop the bank's key models — PD, LGD, and EAD. Our team is responsible for ensuring that the models operate accurately, transparently, and efficiently, and that the business receives a reliable tool for decision-making. We combine in-depth knowledge of probability theory, machine learning, and banking processes, program in Python, and create model testing methodologies.
If you are interested in working at the intersection of mathematics, data analysis, and financial expertise — this is the place for you. You will be able to influence the quality and development of models on which the bank's stability depends.
Responsibilities:
- Verify the quality and correctness of credit risk mathematical models
- Develop program code for validation tests in Python
- Build clear graphs and visualizations of analysis results
- Study the specifics of model application in business processes and form recommendations for their improvement
- Analyze industry standards and regulatory requirements in the field of model risk
You are a good fit for us if:
- You have experience in building classification and regression models for 2+ years (experience with PD/LGD/EAD, understanding of banking requirements — a big plus)
- You have a good understanding of how mathematical models are created and evaluated, know what errors occur and how to fix them
- You are proficient in Python and ready to write high-quality analytical code
- You are ready to interact with model developers, justify your position, and deeply understand business processes
- You want to develop in the area of credit risk, study regulatory requirements and best practices in model risk management
We offer:
- Work in an office near "Belorusskaya" metro station. Hybrid work schedule
- "Upgrade" learning and development platform. Courses, training, webinars, and knowledge bases. Support from mentors and coaches, assistance in identifying growth areas and career development
- Comprehensive health care program. We will issue a VHI policy with broad coverage and accident insurance. We will offer preferential insurance terms for your loved ones
- Free fitness room in the office or partial compensation for sports expenses. The fitness room is equipped with zones for various activities. You can exercise independently or join group classes with a trainer
- Free breakfast and lunch in our cafe. And if you want a snack, there is a kitchen on each floor with tea, coffee, and fruits
- A line of preferential tariffs for T-Bank products
- Well-being program that helps improve psychological and physical health, as well as address legal and financial issues
- Three additional vacation days per year
- Competitive salary — we will discuss it at the interview
