Stress Testing. Credit Risk. Quantitative modelling
Would you like to work in an agile environment and contribute to the development of Nordea's next generation credit risk stress testing framework? We are now looking for a Quantitative Risk Analyst (stress testing, credit risk, quantitative modelling) to develop the credit risk analytical and stress testing framework.
At Nordea, we’re committed to being a partner our customers and society can count on. Compliance and integrity go hand in hand. Joining us means you’ll have an impact on how we do banking – today and tomorrow. So bring your ideas, skills and unique background. With us, you’ll be in good company with plenty of opportunities to collaborate, grow and make your mark on something bigger.
About this opportunity
Welcome to the Credit Risk Portfolio Control and Simula team. We add value by creating in-depth analysis on Nordea’s credit portfolio and developing the framework and infrastructure for credit risk stress testing. As Quantitative Risk Analyst (stress testing, credit risk, quantitative modelling) you’ll play a valuable role in developing the portfolio analytical capabilities in second line of defence, covering analysis of the development of credit risk and forward-looking analysis, sensitivity and stress testing of credit risk.
What you’ll be doing:
- Be a key driver to the development of the credit portfolio analytical and stress testing frameworks, including the development of methods, tools and data foundation
- Drive the dialogue on stress testing with business areas and stakeholders, ensuring that stress testing analysis can support business decisions in an effective manner, and provide in-depth analysis on the stress testing results
- Drive the enhancement of the link between the financial forecasting, risk appetite framework and credit risk stress testing, and ensure that results of the stress test analysis, including the ICAAP, are assessed in the context of the risk appetite framework
- Be responsible for the development and maintenance of the modelling framework used to translate the various macroeconomic scenarios into industry specific shocks
- Be a key contributor to the development and maintenance of the policy framework around the credit risk stress testing process
You’ll join a fast-paced and specialized team where you will work very closely with other members of the unit and establish a close working relationship with other teams in Group Risk & Compliance, Treasury & ALM, Markets Research, and the business areas. The role is based in Warszawa.
Who you are
Collaboration. Ownership. Passion. Courage. These are the values that guide us in being at our best – and that we imagine you share with us.
To succeed in this role, we believe that you:
- Ability to contribute and drive data developments in collaboration with several internal stakeholders
- High motivation with a genuine ambition to drive change and development, combined with a track record of great stakeholder management skills
- Excellent presentation and communication skills with proven ability to transpose analytical deliverables into presentation material
- Fluent in English, both written and spoken
Your experience and background:
- Master's degree with high results in finance/mathematics or economics, PhD degree is an advantage
- At least 7 years' experience in credit risk management/enterprise-wide risk modelling/stress testing/macroeconomic research and analysis
- Strong macroeconomic competence and quantitative and analytical skills is an advantage
- Proven track record in complex analysis, problem solving, working independently and proven superior logic and numerical ability
- Solid working experience in SAS/SQL/Python/R. Expert level in SAS is an advantage.
- Experience in credit risk related legislation and supervisory guidelines (e.g. CRR, CRD, EBA Guideline on Stress Testing) is an advantage
If this sounds like you, get in touch!
Submit your application no later than 27/10/2021 . For more information, you’re welcome to contact Daniel Golan
At Nordea, we know that an inclusive workplace is a sustainable workplace. We deeply believe that our diverse backgrounds, experiences, characteristics and traits make us better at serving customers and communities. So please come as you are.
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