Data Scientist - Banking Risk Models

About the role

Deeplight AI, an AI and data consultancy focused on the financial services and banking sectors, is looking for a Data Scientist with deep banking domain awareness. The role designs, develops and deploys statistical models and data-driven solutions for clients' Treasury, Wholesale Banking and Corporate Lending divisions, covering risk modelling, portfolio optimisation and regulatory capital.

Key responsibilities

• Design and implement statistical risk models for corporate lending, wholesale banking, liquidity management and treasury, including PD, LGD and EAD architectures
• Build RAROC and RAC optimisation modules to help business lines maximise risk-adjusted returns
• Apply Basel III/IV requirements, stress testing and regulatory capital rules to ensure compliance with global and regional standards
• Write clean, modular, documented Python code and take part in peer code reviews
• Work with client risk officers, business analysts and technical leads to present quantitative findings and defend model methodology

Required profile

• Hands-on experience building statistical risk models or quantitative frameworks in corporate banking, wholesale banking or treasury
• Bachelor's or Master's degree in Statistics, Mathematics, Data Science, Quantitative Finance or a related quantitative discipline
• Ability to explain complex statistical trade-offs to technical and business audiences

Required skills

• Strong Python and scientific computing stack (NumPy, SciPy, Pandas, Scikit-learn, Statsmodels, PyTorch/TensorFlow)
• Working knowledge of Basel III/IV, regulatory capital and stress testing
• Nice to have: causal analysis, Transformers and sequence models, PySpark/Spark/Dask, interactive dashboards (Streamlit, Plotly)

What we offer

• Competitive salary
• Comprehensive Gold Level personal health insurance
• Individual visa sponsorship
• Professional development and certification support, subscription reimbursement, monthly employee incentive program and career advancement opportunities