• Location
    • Madrid
  • Date Posted
  • May. 25, 2021
  • Function
  • Finance
  • Sector
  • Financial Services

About the role

The Credit Risk Modeller will work with Revolut’s Head of Group Credit Risk to help grow and maintain Revolut’s wholesale credit risk models.

What you’ll do

  • Develop, improve and maintain Revolut’s wholesale credit risk modelling, specifically IFRS9 models and the wholesale credit risk aspects of ICAAP
  • Build out of a wholesale credit risk stress testing framework
  • Improve and maintain the wholesale portfolio management and credit exposures approach
  • Develop and automate credit analytics related to wholesale credit risk management;
  • Support the regular reporting and monitoring required on wholesale credit risk, automating where possible.

What you’ll need

  • + 2 years’ wholesale credit risk modelling experience
  • Good knowledge of IFRS9 and IRB credit risk modelling requirements
  • Experience working with regulators or facilitating regulatory requests on modelling is preferred
  • Strong ability to communicate complex concepts in a simple manner

Good stakeholder management skills

Strong proficiency in Python and SQL

Excellent problem-solving skills