£0 - £0 p/a
Banking and Investments
Key responsibilities include:
- manage and develop a team of credit risk analysts
- develop documentation related to credit models as well as the effective monitoring of the models.
- ensure development of risk rating models in compliance with IFRS 9 and Basel requirements.
- develop analytical models for decision making such as account profitability models and capital consumption calculators.
- support the implementation of the model validation framework in line wit Basel requirements, among various asset classes and facility types.
- Lead the development of statistical tools in Excel/VBA/R/SAS to analyse the risk models sensitivity and behaviour.
- contribute to the timely production of validation reports to the senior management team.
- contribute to the delivery of ICAAP and stress testing exercises.
- contribute to the development, maintenance and adequate use of an economic capital model.
Skills / experience required:
- Masters degree ideally in Mathematics / Statistics or Finance, engineering or any other quantitative field.
- 6 years + experience in a technical field, preferably within risk management.
- 5 years experience in credit model development, with the ability and experience to build models from scratch.
- the ability to develop and validate models using SAS, R and other statistical software.
- strong experience as a credit risk analyst in a portfolio management , decision science or forecasting background. Experience in a consumer or corporate lending environment is advantageous.
- project management experience in a credit risk environment.
- exceptional communication skills
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