(Москва, ЮниКредит Банк) Validation Manager




UniCreditBank is a commercial bank, operating in Russia since 1989. The Bank benefits from its strong position in the large Russian corporate finance market and sustainable retail banking business. UniCreditBank operates under General Banking License No1 of Central Bank of the Russian Federation and is a member of UniCreditGroup with headquarters in Milan, Italy.
Responsibilities
  • Validate local Bank's risk systems;
  • Review components of credit risk model's (PD, LGD, EAD), IFRS 9 models, etc;
  • Collect data from databases to perform statistical checks;
  • Analyze compliance with regulation (Basel II, IFRS 9, EBA) and UniCredit Group requirements;
  • Рarticipatein 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 projects;
  • Communicate with Regulator in the scope of IRB assessment.
Requirements
  • Degree in quantitative field (Maths/ Programming/ Statistics/ Physics/ Finance/ Economics);
  • English, at least upper intermediate level;
  • Experience in working with large datasets; SQL and SAS BASE experience is desirable;
  • Experience in modelling, especially in financial industry in risk-management, will be a plus.
Conditions
  • Office in the center of Moscow -m. Park Kultury;
  • Medical insurance;
  • Professional and career development opportunity;
  • Paid launches;
  • Official employment contract.
Apply your CV to Ekaterina.Ermolaeva@unicredit.ru

Be sure to mention that you've heard of this vacancy from Changellenge >>