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Credit Risk Modelling Analyst

Robert Walters
Job LocationLondon
EducationNot Mentioned
Salary55,000 - 65,000 per annum
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent,full-timeB

Job Description

A boutique bank specialising in development finance, business finance and specialist mortgages are currently seeking a Credit Risk Modelling Analyst to join the Model Development Team in their Risk Team, focused on the development of Stress Testing models.The successful candidate will work closely with the Finance team including taking responsibility for undertaking stress testing (ICAAP Pillar 2A and 2B Model Development and Execution), impairment forecasting , macro-economic timeseries modelling as wellas the execution of the banks IFRS9 model and developing second and third generation IFRS9 models.Key Responsibilities in the Credit Risk Modelling Analyst role will include:

  • Lead the re-development, enhancement, documentation and execution of the Banks Pillar 2A Credit Risk and Pillar 2B stress testing models for the annual planning and stress testing cycles.
  • Provide insight and recommendations on key outputs from the process to aid the front-line business in understanding their overall risk profile and drive strategic objectives in line with PRA best practice guidelines.
  • Identifying and implementing model changes and enhancements as needed, ensuring they are in line with Bank standards, Model Risk Management (validation) findings and regulatory compliance requirements.
  • Support the teams ongoing IFRS 9 expected losses activities (BAU execution, model monitoring, model development and annual validations).
Key Requirements in the Credit risk Modelling Analyst role will include:
  • A strong understanding of the Credit Risk with extensive relevant experience in developing Credit Risk Models.
  • Model development (transition matrix approaches, timeseries modelling, OLS linear and logistic regression)
  • Model Performance assessment (monitoring)
  • Significant experience of undertaking stress testing and forecasting exercises
  • Thorough understanding of IFRS 9 model requirements and development experience
  • Strong mathematical and statistical background, knowledge of statistical modelling techniques.
  • Significant experience of using SQL & SAS (macros, arrays, scoring / simulation engines, non-linear modelling, partial least squared, timeseries modelling, etc.), knowledge of other programming languages an asset
Should you meet the requirements, please click to apply!

Keyskills :
Model DevelopmentSASCredit Risk ModellingStress testingModel Calibration

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