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Quantitative Modeller

Job LocationRedhill
EducationNot Mentioned
Salary£55,000 - £750,000 per annum
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent, full-time

Job Description

A new an exciting opportunity has become available for a Quantitative Modeller to join my client on a Permanent basis in Redhill.Salary: £55,000-£75,000 + benefitsJob PurposeThe Modeller will report to the Head of Methodology and within an IFRS 9 / IRB environment will be primarily responsible for the development, monitoring and calibration of admission and behaviour scorecards, regulatory parameter models (PD, LGD and EAD), credit provisioning models, and any other quantitative models. This includes working with the local model owner in specifying data requirements, as well as writing model documentation as part of the internal and external approval process.Required

  • Strong SAS skills
  • Experience in a Credit Risk function
  • Modelling experience (building scorecards etc.) preferably in an IRB or IFRS 9 context
  • Knowledge of relevant regulatory bodies (e.g. PRA, EBA, ECB) and the requirements of IRB / IFRS 9
  • Summary of Key ResponsibilitiesAs a Modeller your main responsibilities will involve:* Developing, monitoring and calibrating scorecard and regulatory parameter models required for IFRS 9 and IRB.* Developing, monitoring and calibrating any other Risk model requirements relating to provisions, stress testing, securitisations etc.* Developing and maintaining all required model documentation.* Developing model monitoring.* Develop champion challenger programs to constantly look for ways to improve the efficiency of the existing models.* Be proactive in looking for improvements in data (new data, cross tabulations of existing data and variables) and model methodology to improve model performance.* Be proactive in anticipating changes to business, market and/or economic performance that could stress the model performance. Advantage Resourcing is a service driven recruitment consultancy. Required skills
  • IRB
  • SAS
  • banking
  • credit risk
  • Modeller
  • IRFS
  • Keyskills :
    IRB SAS banking credit risk Modeller IRFS

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