You would be responsible for:

• Validate local Bank’s risk systems; review components of credit risk model’s (PD, LGD, EAD), IFRS9 models, etc.; collect data from databases to perform statistical checks; analyze compliance with regulation (Basel II, IFRS 9, EBA) and UniCredit Group requirements.
• Participate in validation of rating and ICAAP process, IT aspects of rating systems, market risk models, IFRS provisioning.
• Present work through detailed validation reports in English; develop and prioritize constructive recommendations for rating system changes/ enhancements.
• Contribute to promotion of effective model development, use and validation practices within the Bank; build strong working relationship with key rating system stakeholders.
• Communicate with UniCredit Holding company (Italy) and fulfill joint validation project.
• Communicate with Regulator in the scope of IRB assessment.

Successful candidate should have:

• Degree in quantitative field (Maths/ Programming/ Statistics/ Physics/ Finance/ Economics).
• English, at least upper intermediate level.
• Technical skills in Python or SAS.
• Experience in modelling, especially in financial industry in risk-management, will be a plus.

What we offer:

• Office in the center of Moscow (remote work during the pandemic);
• Professional development opportunities with a leading international company;
• Medical insurance (incl. dentistry);
• Active corporate life (sports program, health days, corporate conferences, and much more with special well-being program).