Join Our Community:
As a Quantitative Analyst you will be responsible of developing, monitoring, and maintaining IRB credit risk models based on regulatory requirements, the bank's internal standards, and industry best practice. Furthermore, you will be required to provide data, analysis, and support the management in answering queries from other business teams.
Capital Management is an essential tool in Risk Management, and is used across this organisation to identify, assess, and mitigate the risks involved in every decision made by the business.
What you will be doing:
Developing Credit Risk models with an efficient use of data, and a transparent communication to all stakeholders involved.
Ensure that analysis and models are consistent with the business requirements, and fully compliant with applicable (PRA & ECB) capital regulations.
Ensuring that relevant model developments are robust to withstand independent scrutiny and challenge by regulators.
Supporting the model governance
Responding to governance queries and suggest improvements to any aspect to the IRB environment.
Contributing to the implementation of new IRB models in the IT system, ensuring that it is consistent with the original models' design.
Producing and review model monitoring reports, identifying the cause of misalignment, and explaining the impact of any change in the models' performance to key stakeholders.
What you'll bring:
Experience in coding in a data and statistical language (e.g., SAS, Python, R, SQL, and so on).
An excellent ability to manipulate data (extract, understand, summarise, represent, and transform), and use some statistical techniques to solve business problems and/or develop statistical models.
A passion for coding.
Previous working experience in banking environment.
Experience in Credit Risk Management, model development or a related area.
SAS programming skills, or the ability and passion to learn it.
Experience of building statistical models in business environments and be able to communicate their main aspects.