Credit Risk ICAAP Modeller

  • Location


  • Discipline:

    Risk Management

  • Job type:


  • Salary:

    up to £65k

  • Consultant:


  • Email:


  • Job ref:


  • Published:

    almost 2 years ago

Working as a part of the modelling team within the Credit Risk function be primarily responsible for the regular production of the ICAAP along with associated models, procedures and monitoring reports. The ideal candidate will have previously been involved in the production of the ICAAP and will fully understand the ICAAP process, developed models, ran stress scenarios and documented management actions. They will also be used to working in a credit risk function (preferably within the UK mortgage market) and be familiar with the range of analytical and modelling techniques that will be used to understand behaviour across the full customer lifecycle


Key responsibilities include:

  • To support the production of the ICAAP for BGFL;
  • Definition, design, model development and production of ICAAP analytics and reporting metrics;
  • Work closely with different departments and stakeholders across the organisation facilitating the production and gathering of information;
  • Responsible for documentation of strategies and policies as appropriate;
  • Production of such ad-hoc analysis as is required by the business to provide insight into customer behaviour.


The Person 

  • 3-5 years’ experience in a regulated financial services organisation, ideally within UK mortgage market;
  • Previous working experience writing or producing the ICAAP;
  • Working knowledge of relevant PRA prudential rules and regulations;
  • University degree in technical field (e.g. mathematics, physics, statistics, economics, computational finance etc.);
  • Demonstrable modelling, analytical and problem-solving skills;
  • Experience in managing relationships with internal and external stakeholders;
  • Self-motivated with a strong desire to learn and the ability to work in a fast paced start up environment;
  • Strong written and verbal communication skills;
  • 2+ years’ hands on experience of working with SAS;
  • Highly proficient using Excel and other analytical software such as R, SQL, Python, XML.


Please note, should you not receive feedback 28 days, unfortunately your application has been unsuccessful. However, we may be in touch with similar relevant opportunities.