Senior Data Scientist Credit Modelling
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RISK HUB – BNP Paribas Group – RISK Iberian Hub Madrid is a transversal platform covering credit risk, market risk, operational risk and data protection. It provides a wide range of services to RISK teams, from consulting and cyber security through data analysis, modelling or artificial intelligence.
About the job
Want to help shape the bank of tomorrow today? How can the bank leverage data to assess credit risk on its portfolio of existing and new clients? Risk assessment encompasses various elements: how likely is it that a client will not be able to comply with the contractual requirements of his loan? What will be the client’s outstanding balance in such a situation? What loss is the bank expected to suffer if a client is no longer able to repay a loan?
As a member of the RISK Models team, you will join a team of experts whose goal is to answer these questions through the development of statistical or expert models.
By analysing historical data and working together with the business lines, IT department, and modelling experts, the team creates tools that help the bank calculate the capital requirements for its credit exposure, the risk component of the credit price, or that contribute to the approval process of a new credit.
Responsibilities
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* Designing and developing models for credit risk mainly focused on companies
* Finding, managing and using the most appropriate data sources for modelling purposes
* Working with expert colleagues and business representatives to examine results and keep models grounded in reality
* Documenting each step of the development and informing decision‑makers by presenting options and results
* Ensuring correct implementation of the tools (together with the IT department)
* Continuously assessing models by means of back‑testing
* Answering specific, external requests regarding statistics related to credit risk assessment
* Following up on evolutions in regulation and in credit risk modelling best practices
* Potential expansion of responsibilities to encompass HR‑related tasks, complementing existing operational duties
Requirements
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* Master’s degree or higher in Mathematics, Economics, Econometrics, Statistics, or a similar analytical field.
* At least five years of experience in credit risk modelling (PD/LGD/LGDD/CCF).
* Fluent written English;
speaking French is highly desirable.
Skills
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* Technical: Strong SAS programming skills. Experience with Big Data technologies, bank‑wide rating scrubbing, or credit products is an asset.
* Transversal/Behavioral: Ability to manage long‑term deadlines, plan work accordingly, be detail‑oriented, and collaborate easily with both technical and business‑oriented colleagues.
Benefits
Training programmes, career plans, and internal mobility opportunities—both national and international—thanks to our presence in multiple countries. A Diversity and Inclusion Committee ensures an inclusive work environment. Employee communities (PRIDE, We Generations, MixCity) organise diversity and inclusion awareness actions. Corporate volunteering programme (1 Million Hours 2 Help) allows employees to dedicate time outside work for volunteer activities. Flexible compensation plan, hybrid telecommuting model, and 32 vacation days.
Diversity and inclusion commitment
BNP Paribas Group in Spain is an equal‑opportunity employer and proud to provide equal employment opportunity to all job seekers. We are actively committed to ensuring that no individual is discriminated against on the grounds of age, disability, gender reassignment, marriage or civil partnership status, pregnancy and maternity/paternity, race, religion or belief, sex or sexual orientation. Equity and diversity are at the core of our recruitment policy because they foster creativity and efficiency, which in turn increase performance and productivity. xhfqzwm We strive to reflect the society we live in, while keeping with the image of our clients.
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