Head of Credit Assessment Models Monitoring

Allianz Trade, the world’s leading provider of credit insurance services, helps its customers around the globe to trade wisely and develop their business safely. With 6,000 employees from more than 70 nationalities, in over 50 countries, Allianz Trade offers a complete range of services for the management of B-to-B trade receivables. For more information visit http://www.allianz-trade.com/.

The role

- Responsible for the assessment of Allianz Trade's grading models worldwide
- Building and implementing worldwide grading testing methodology both for business steering and for regulatory purposes
- Ensures the compliance of the grading process with governance rules and Solvency II requirements
- Contributes to steer and monitor Credit Assessment in the regions
- Ensures the successful migration of model monitoring activities, encompassing both data sourcing and software/interface components

- Builds and designs accurate and timely AZT grading testing models according to Solvency II requirements: discriminatory, accuracy, stability, sensitivity analysis, etc
- Builds and designs flexible and reactive testing models that support the business on a frequent basis: including change in models methodologies, change in economic environment...
- Independently assesses future models by implementing the relevant testing calculations within the timescale allocated.
- Writes and updates grading testing guidelines and procedures.
- Monitors and updates testing calculations and documentation when necessary.
- Delivers testing reports and KPIs that will finally be provided to the Solvency II Regulators.
- Takes part in business meetings and communicates output of the testing and suggests improvements
- Delivers a clear communication of the testing analysis.
- Ensures the compliance of the grading process with Allianz governance rules.
- Liaises with the other Credit Assessment teams, Group Risk, Group IT and Ops
- Contributes to Credit Assessment standards definitions and evolution
- Production and monitoring of quarterly key indicators
- Manages the migration of data sourcing from an old, soon-to-be-decommissioned data source to a new, viable data source
- Develops an automated data sourcing pipeline to extract data for model monitoring activities
- Migrates existing code and applications from R, LaTeX, and Shiny to Python, LaTeX, and Python Dash

Your profile

- Master degree in Statistics / Econometrics
- Statistical analysis expertise, incl. very good knowledge of statistical tests such as Kolmogorov-Smirnov, Chi-Square, Binomial, Vasicek, T-test, PSI, CAP, ROC
- Excellent MS Excel/Access including working knowledge of VBA.
- Very good data analysis / analytical skills
- Advanced programming skills (knowledge of Python / Git / AWS / Matlab / R)
- Good knowledge of credit risk assessment
- Ability to analyze and synthesize information
- Fluent in English
- Minimum 5 years experience in the development and testing of credit risk models
- Hands-on experience with large datasets
- Prepares and leads model monitoring committees, during which model performance is reviewed with Regional Teams and action plans decided to enhance our models
- Maintains and enhances the web application shared with Regional Credit Assessment teams that computes and displays model monitoring performances

We at Allianz Trade believe in a diverse and inclusive workforce and are proud to be an equal opportunity employer. We encourage you to bring your whole self to work, no matter where you are from, what you look like, who you love or what you believe in.

We therefore welcome applications regardless of ethnicity or cultural background, age, gender, nationality, religion, disability or sexual orientation.

If you are interested in the position above and think you have the right profile please follow the online application process. For more detailed information on the company and our career opportunities please go to our website: Careers | Working at Allianz Trade (allianz-trade.com)