Advisor/Analyst - Credit Modeller

Job description

Summary of the Role Purpose

Advising clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build credit risk measurement models.
The individual will also be expected to technical analysis for workstreams within both IFRS9 and credit risk modelling engagements.

The individual will also be required to apply their skills to a broad range of credit risk related issues supporting both regional and national propositions

Description of the Role

Minimum 18 months relevant experience required. Experience in credit risk modelling techniques. Detailed working knowledge and experience of all aspects of model development and validation including the following:
- Data extraction and pre-processing
- Modular model development
- User acceptance testing Model performance assessments
- Production of model monitoring reports
- Stakeholder Interaction and Challenges
- Ability to communicate risk/finance requirements of modelling to the reciprocal function, i.e. risk to finance and finance to risk.
- Flexibility and agility to contribute in a senior capacity to a broad range of credit risk engagements.
- Excellent oral / written communication
Impact Risk, Accountability and Governance

- Responsible for performing model validation and review activity.
- Responsbile for managing work activities and demonstrating proactivity in supporting others skills
- Flexibility to work across the UK (and internationally) where required
The Person

Experience

Essential

- Ability to understand and execute programming code including VBA, R, Python, SAS, MatLab, C++, SQL etc
- Relevant Sectoral experience – Developing Retail/ Wholesale banking PD/EAD/LGD models and scorecards understanding the modelling steps required in developing credit models Experience in reviewing models
Desirable

- IRB/Capital models and regulation
- IFRS9 experience
- Understanding of stress