Quantitative Modelers by Alpha Bank

Quantitative Modelers
Alpha Bank Athens, Attiki, Greece 2 hours ago 9 applicants

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About the job
The Quantitative Modelers will be placed in the Credit Risk Methodologies Division which has the responsibility to develop and apply the methods used in measuring and assessing credit risk at Group level as well as to submit updates to the competent Committees of the Bank and of the Group Companies. The aforementioned Division also develops the credit risk models used in impairment testing at Group level, in accordance with the International Accounting Standards.


The ideal candidates should possess advanced problem-solving and analytical skills along with sound judgment and critical thinking and should have the ability to communicate advanced concepts in a concise and logical way. These roles will suit candidates who thrive on delivering results in a fast-paced environment where their work has high impact.


Key Areas of Responsibility

Development of statistical models and AI algorithms focused on classification tasks, machine translation and language generation for credit risk assessment in all aspects of the Group products and activities.
Estimation of all the credit risk parameters (PD, LGD, EAD) in compliance with the regulatory frameworks and in line with industry best practices with a special focus on Machine Learning techniques.
Participation in the design and implementation of appropriate methodologies through effective programming to manipulate, analyse and model large volume of data as well as manage credit risk.
Implementation of regular reviews and updates of model documentation (methodology guide, user guide, policy documents, etc.).
Research of best practices in applying statistical and econometric methods in credit risk modelling (working knowledge in AI & ML techniques will be considered a strong plus).
Monitoring of the deployment of credit risk models in the IT Systems of the Bank.

Required Skills and Experience

A Master’s degree or PhD degree in a quantitative discipline e.g. Engineering, Statistics, Mathematics, Quantitative Finance, Computer Science, machine learning arising in financial modeling (i.e. numerical analysis, probability theory, optimization/regression, machine learning techniques) or a related subject must be completed upon employment.
Quants: One (1) to three (3) years of professional experience
Senior Quants: Five (5) to eight ( years of professional experience

both in building and implementing credit risk models in an IRB or IFRS9 context

Expertise in the use of analytics tools such as SAS, SPSS Modeler/ Statistics.
Experience in procedural and imperative programming languages (e.g. SQL, PL/SQL,
T-SQL etc.) and use of databases will be an asset.

Strong coding skills in the following programming scripting languages: R, Python, C++.
Previous experience with processing massive datasets (structured vs unstructured data) and drawing insightful conclusions.
Good understanding of Machine Learning, deep learning and NLP algorithms and methodologies.
Prior statistical modeling experience (validation or development) with Artificial Intelligence and Machine Learning Modeling.
Agile project/product development employing DevOps practices (e.g. automated testing).
Project Management skills coupled with strong business acumen in terms of comprehending the business and operational impact of risk management decisions.
Excellent command of the English language (both written and spoken).

Alpha Bank offers a remote interview process and a work-from-home scheme during the implementation of the current social distancing measures.

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