Our Client is currently looking to recruit a Senior Modelling Analyst to contribute to the work of Credit Risk Management by taking responsibility for the development, analysis, validation, implementation and monitoring of Credit Risk Scorecards and PD models.
Role responsibilities:
• The development of Credit Risk Application and Behaviour Scorecards that will be used throughout the account lifecycle, from application stage through to collections
• The development of the PD models as required under the IRB and/or IFRS9 frameworks
• Ensuring adherence to the model governance framework
• Calculating and monitoring the PD model outputs to ensure stability of the framework, identifying adverse changes to be actioned
• Producing in-depth documentation of the models and the production framework to the required standard to obtain the relevant sign-off
• Implementing the models into the live environment in a manner that is consistent with the development objectives, ensuring 100% accuracy and timeliness of the calculation of the outputs
• Creating and producing the required regular validation of the models
• Ensuring the regular monitoring of the stability, integrity and effectiveness of the models, highlighting adverse changes and proposing remedial action plans
• Timely production of the full suite of monitoring reports required as part of the model governance framework
• Ensuring data integrity, documentation, validation, stability and controls are in place for all data elements used within the modelling and live production of the model outputs
• Supporting in the development and execution of the stress testing framework
• Providing support and development to junior analysts
About you
• Good knowledge and understanding of general statistical modelling (Logistic and Linear Regression, Scorecard development, Reject Inference) and related stats (Gini, information value, K statistic, R squared, population stability etc.)
• Proven experience in statistical modelling and analytics across the account life cycle
• Good working knowledge of CRA and behavioural data
• Degree level education (min 2:1) in mathematics, statistics or equivalent
• Excellent verbal and written communication skills
• Ability to work independently and, at the same time, support the wider project team as needed
Preferable to have:
• Modelling experience using SPSS or SAS
• Experience of IRB PD models and rating systems
• Experience in a mortgage environment (Buy-to-Let and Residential)
What’s in it for you:
• Hybrid working
• Competitive salary and additional benefits
Please note, should feedback not be received within 28 days due to the large volume of applications, unfortunately, your application has been unsuccessful. However, we may be in touch with similar relevant opportunities.
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