Model Development Senior Risk Analyst

Job Description

Business Unit: Group Risk Salary - £29,500 - £37,000 depending on experienceLocation: Glasgow, Leeds or Gosforth Employment Type: PermanentDisrupt the status quo. It’s a simple statement that tells you everything about our ambition. It’s about thinking what money could be, instead of what it’s always been. Thinking this way gives us so many opportunities to make our customers happier. We’re not like other banks – and we want you to help us be even more exceptional.And that’s where our Risk department come in. They provide us with a fool proof framework to make decisions that we know will keep our customers’ and investors’ money safe. They are always safeguarding our bank from an array of risks that could pop up at any moment.In nutshell…In this fantastic role, you will be responsible for supporting the macroeconomic modelling remit of the Group Credit Stress Testing (GCST) team and associated models currently in operation. This will include completing detailed model monitoring on a regular basis to identify current and emerging model risks and to drive appropriate actions, producing model outputs to support periodic IFRS9 and Credit Stress Test economic refreshes, and supporting model development activity. And there is more… as the Group are now part of the Bank of England’s concurrent stress test, this will provide you with a unique opportunity to broaden experience and build knowledge working on a key regulatory deliverable.Day to day you will be…• Provide input into the scoping, design, development, validation and implementation of credit macroeconomic models, in line with Bank standards and regulatory compliance requirements, supporting model development.• Undertake analysis and complete detailed model monitoring to ensure macroeconomic models that supplement Retail and Non-Retail loan loss provision calculations and credit stress test forecasts remain robust and fit for purpose.• Provide high quality drafts of model documentation and recommendation papers that require limited management oversight.• Present analysis and make recommendations to local management and support management in presenting output to key stakeholders outside of GCST.• Execute model forecasts and produce model outputs to support periodic IFRS9 and Credit Stress Test economic refreshes.• Manage own workload and prioritise accordingly• Support wider GCST activities during time critical periods of stress test execution (ICAAP, BoE ACS)To be brilliant you will bring…• Some experience of model development projects across a range of Retail or Non-Retail credit portfolios, with an understanding of model usage.• Some experience in credit risk management.• Good knowledge in the use of statistical analysis software SAS, as well as professional experience in the MS Office suite• A numerate degree and/or equivalent technical industry experience• Excellent communication, listening and writing skills. An ability to listen, understand and respond professionally.• Ability to work to a high degree of accuracy, ensuring you always get the basics right.• Sound decision making and critical thinking.The icing on the cake would be…• Experience of credit stress testing• Experience of economic time series analysis• Experience of statistical modelling techniques such as linear and logistic regression as well as optimisation approaches.• An understanding of Credit Risk Metrics such as PD/LGD/EAD, Capital Requirement Regulations (CRR) and IFRS9 accounting standard.• Demonstrated ability to overcome obstacles, be accountable and use your initiative to do the right thing• Coding expertise in Python and R & Rshiny.We really need you to have the skills and experience listed in the ‘To be brilliant you’ll bring’ section above, but the rest is just our wish list, so please don’t let that put you off applying, we’d love to hear from you!RED HOT Rewards• A generous holiday package and the option to buy more!• Private Medical Insurance - with the option to extend to family members.• Pension! A market leading pension – we’ll top up your contributions too. • Flexible benefits – customise your rewards to work for you!Inclusion at Virgin MoneyInclusion is at the heart of everything we do here at Virgin Money. It’s good for you, it’s good for us and it’s amazing for our customers. We know that great minds don’t think alike, so we rely on your diverse thoughts, feelings, beliefs and backgrounds to be the best we can possibly be. Got any questions about this or need some support with your application We’d love to hear from you so get in touch with our friendly team at orPoint to note…At the minute, depending on which team you are joining, lots of us are working from home. This is something that may change over time, and if so, we will come together in one of our hub locations, giving you the chance to meet your new colleagues in person. We will of course, make sure you have the IT equipment to access our systems and to interact digitally with your new team and colleagues, but we thought it best to let you know this in advance, so you can make sure you are set up to work safely and productively. If you have any questions on this let us know!Now the legal bit…If we offer you a job and you accept, there are some checks we need to complete before you can start with us. This will include a credit and criminal record check, as well as providing 3 years worth of satisfactory references.