Our client is a UK-based financial institution that provides a wide range of banking services to both personal and business customers. The bank has over 60 years of experience in delivering banking solutions that meet the needs of its diverse clientele. Its services include corporate banking, trade finance, personal banking, and treasury and money markets.
THE RESPONSIBILITIES:
The successful applicant will be responsible for hands-on development, maintenance, and implementation of PD, LGD, and EAD for IFRS9 purposes.
They will be required to have hands-on IFRS9/Credit model development experience in banking and experience across multiple asset types of banks.
Focus on leading/supporting Model developments (PD, LGD, and EAD) and include the development of models as an end-to-end process.
Scope model requirements, data reviews, portfolio analysis, model developments, engaging with key stakeholders, creating model documentation, taking models through internal governance process for approval, and supporting the implementation of models.
As an experienced member of the team, you are expected to proactively contribute to the model development strategy and modelling methodologies to improve credit risk models.
Engaging with the external validation teams and external auditors, as part of the model validation and review process.
Producing annual reviews of models, reviewing the model performance, model calibration, model back testing, creating supporting analysis on models, and supporting model implementation within the bank’s credit risk framework.
Document assumptions made in the model and the relevant justifications and submit to appropriate authority for approval.
EXPERIENCE REQUIRED:
A qualification in statistical, mathematical, financial or economics / STEM Subjects or equivalent
Strong technical, commercial, and practical understanding of PD, LGD, and EAD Models and how these models are used for provisioning and capital estimation purposes.
Practical experience with predictive modelling.
Quantitative Problem Solving and Judgements.
Ability to analyse, interpret and present complex analytical data, both verbally and in writing.
Experience in developing practical technical solutions with limited data.
Proficient in Excel, databases/ SQL, and Microsoft Office.
Stakeholder management experience/skills.
For further information please contact Eleanor Vine
We use cookies to ensure that we give you the best experience on our website. If you continue to use this site we will assume that you are happy with it.Ok
