Modelling risk specialist (Data Scientist)
- AccessBank
- Tbilisi prospekti, Bakı, Azərbaycan
- Full-time
30-04-2025
4.1K
Description
- Calculation of the probability of default (PD), loss given default (LGD) for credit portfolios based on models, and participation in the calculation and analysis of provisions to be created under IFRS 9 framework;
- Collection, cleaning, and preparation of data for scoring models;
- Collection and analysis of data for stress testing within the framework of credit risk assessment and forecasting;
- Identification of the required data components from other bank departments for the construction of risk models and collection of this data;
- Determination of stress scenarios for portfolios and application of stress test results in economic capital creation;
- Investigation and application of various approaches to measure market risks (such as value at risk, etc.);
- Conducting empirical analysis based on empirical data, internal and external banking experiences, and loss data for risk identification.
Responsibilities
- High education degree in information technology, mathematics, econometrics, quantitative methods or related fields;
- Ability to apply different regression models (e.g., linear, non-linear, log and etc.);
- More than 1 year of experience modelling, model validation or quantitative 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 and SQL;
- Knowledge of Azerbaijani, English and/or Russian languages.
About this role
Apply Before
May 10, 2025
Job Posted On
April 30, 2025
Job Type
Full-time
Category
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