Senior Quantitative Risk Analyst, Retail PD

<p>Job ID: 21706 </p> <p> </p> <p>Would you enjoy working with data and statistical models in practice and add a real business value for Nordea? Then this opportunity is for you. The role combines advanced modelling, practical implementation of the models in our IT infrastructure and a sound understanding of retail banking. You need to enjoy working with large datasets, solve problems and find new and innovative solutions.</p> <p> </p> <p>At Nordea, we use internal models for calculating regulatory capital. These models are developed and maintained by the Risk Models team. The role is within the Retail Probability of Default Modelling team (Retail PD) which sits within Risk Models and is responsible for accurately estimating probability of default for Nordea’s retail customers. We are recruiting for more talented people to help us meet the standards set by the European Central Bank (ECB).</p> <p><br/> About this opportunity</p> <p> </p> <p>Welcome to the Retail PD team where we are responsible for developing and maintaining scorecards and probability of default models for Nordea’s household and small and medium-sized enterprise customers. The main purpose of the team’s output is to ensure that Nordea complies with capital requirements as stipulated by ECB. Output is furthermore used in the credit process and for strategic management purposes. We add value by accurately estimating the individual probability of default for Nordea’s customers who hold our lending products. As Senior Quantitative Risk Analyst you will play a valuable role in developing, maintaining and using models which accurately estimate retail customers’ credit risk.</p> <p> </p> <p>Given the nature of our data and regulatory requirements, we use advanced modelling techniques and big data technology. In addition to using leading techniques for modelling and data, the team’s role is general risk governance within credit risk modelling, including management of models, model implementation, data quality and model use.</p> <p> </p> <p>What you’ll be doing:</p> <ul> <li>Maintain statistical models—behaviour scorecards, application scorecards and PD calibration—and develop new models when needed</li> <li>Test and document that our existing models work on new portfolios</li> <li>As model owner, ensure and verify that models are implemented correctly in production systems. Drive automation of risk models in collaboration with IT infrastructure teams. Provide business support during the go-live phase and beyond</li> <li>Optimise data extractions of very large datasets for modelling and analytical purposes  </li> <li>Quantitative data analyses, i.e. financial impact of model and data changes and investigation of impact on models from changes in processes and data</li> <li>Prepare reports and other documentation used for both senior management and external reporting</li> <li>Model governance and participating in various risk for a. Ensuring that model frameworks are followed, risks are identified, well-understood, monitored, controlled, reported and mitigated</li> <li>Ad hoc analyses for external and internal stakeholders</li> <li>Establish the Retail PD team in Oslo, including taking the lead on creating a team spirit and defining how we work with team members in other locations (Copenhagen, Helsinki and Warsaw).</li> </ul> <p>The role is based in Oslo, Norway and you will play an important role in establishing a Risk Model presence in this location. </p> <p> </p> <p>You’ll join an international team with a variety of backgrounds and skills. We work closely with other teams across the bank which provides you with excellent opportunities for personal and professional development. </p> <p> </p> <p>Flexible working conditions with respect to working from premises / from home apply according to the Nordea rules of working at least 60% from the office. </p> <p><br/> Who you are<br/> <br/> Collaboration. Ownership. Passion. Courage. These are the values that guide us in being at our best – and that we imagine you share with us.  <br/>  </p> <p>To succeed in this role, we believe that you:</p> <ul> <li>Have genuine interest in retail banking and credit risk management</li> <li>Enjoy working with large datasets and navigate well in tools used to analyse them</li> <li>Keen interest in using the latest and most innovate technology and a commitment to ongoing learning</li> <li>Work well in a dynamic and constantly changing work environment with varying workload</li> <li>Navigate well in statistical modelling techniques</li> <li>Are proactive and continuously seek ways to improve</li> <li>Find solutions and not only raise problems</li> <li>Have an analytical and problem-solving mindset</li> <li>Exquisite attention to detail and a commitment to deliver high-quality work.</li> </ul> <p>Your experience and background:</p> <ul> <li>Tertiary qualifications in a quantitative field, including but not limited to economics, engineering, business, mathematics, science, st