Model Validation Scientist (all genders)
Erste Group was founded in 1819 as the first Austrian savings bank and is today one of the largest stock‑listed banking groups in Central Europe. As an attractive employer, Erste Group offers interesting career opportunities in an international environment. The Model Validation unit is responsible for establishing validation methodologies and standards for AI/ML models used throughout Erste Group, with a specific focus on credit (i.e., IRB, IFRS 9, Pillar 2) and operational risk (i.e., AMA) use areas. The purpose of the Model Validation unit is to critically and independently challenge models used for regulatory and internal purposes.
Your Tasks
Contribute to setting the group‑wide validation methodology and standards for internal models with a specific focus on credit risk (i.e., IRB, IFRS 9, Pillar 2)
Implement the validation methodologies and standards in a dedicated analytical environment
Continuously improve and maintain group‑wide validation methodology and validation architecture
Conduct independent model validation and provide valuable feedback for the continuous improvement of internal models, ensuring the decision‑making process is based on sound and quantitative evidence
Your Background
Minimum 3 years of experience in model validation or development of statistical models in a large corporation, preferably in the credit risk area
Master’s degree in mathematics, statistics, econometrics, finance or a related quantitative field
Strong understanding of model development and validation frameworks as well as relevant regulations (e.g., IRB, IFRS 9)
Strong analytical skills and the ability to interpret results critically and clearly communicate findings
Strong programming skills in Python. Experience with DataBricks is a strong plus.
Our Offer
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