Role managing a modelling team and reporting into the Head of Modelling. Your team will be responsible for the development and maintenance of the decisioning, capital and impairment model suites. These are used to drive and manage the business’ credit risk appetite, associated capital requirements under the Internal Ratings Based (IRB) Approach and Expected Credit Losses (ECLs) under IFRS9.
Required Skills Include:
• Credit Risk model development experience.
• Associated technical skills – SAS or similar languages e.g. Python.
• Knowledge of mathematical and statistical knowledge and practices – including regression techniques, loss modelling and emerging machine learning related techniques.
• Great communication skills and the ability to present information to both technical and non-technical audiences.
Key Accountabilities Include:
• Recruitment management and ongoing development of the modelling team.
• Progress the model development programme – across regulatory and commercial model domains
• As required, development and maintenance of the risk model suites including but not restricted to:
o Application, Behavioural and Fraud Scorecards
o IRB and Standardised Capital Requirements and IFRS9 Expected Credit Losses (UK and Euro [PD, LGD, EAD]):
• Attend the Models and Rating Systems (MRSC) and Credit Committee, and Credit Models Working Group (CMWG) technical committee and other governance fora as required.
Send over a CV and get in touch if you wish to hear more about this or any other opportunities.
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.