IFRS9 Senior Quant Modeller

London, England, United Kingdom

Specific Purpose of the Role

The Senior Modeller will be primarily responsible for supporting the lead methodology team based in Germany to define and build PD, EAD and LGD methodologies for the  UK Consumer Finance portfolio that demonstrate compliance with IFRS 9 rules. 

This includes appropriate oversight of the model developments and appropriateness for UK portfolios to the satisfaction of internal and external stakeholders and 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. 

As a Senior Modeller your main responsibilities will involve:

  • Facilitating the implementation of a number of model development projects from inception through to delivery.
  • Assessing compliance of the proposed methodologies for UK purposes.
  • Defining interpretation of the guidance to senior stakeholders where required (as it relates to modelling) and helping consolidate feedback via the UK methodology leads in the UK (including the Head of IFRS9 Methodology – UK) and Germany to the regulator via industry associations.
  • Communicating with the local Consumer Finance UK business unit to:
    • Understand the requirements of the model owner.
    • Understand the nuances of the client type, product and systems where the model will be implemented and ensure that these are considered throughout the development to ensure that final version of the model is fit for purpose.
    • Translating the results of the model(s) into business language such that all assumptions supporting the development, the structure and outputs of the model(s) are clearly understood.
    • Participate in quantitative testing.
    • Provide performance updates on the project.
  • Ensuring that the model output is sufficiently robust to withstand independent scrutiny and challenge by internal validation and internal and external auditors.
  • Ensuring that the model(s) meets local and global governance standards and has been through the appropriate sign off criteria for the business unit prior to implementation.
  • Supporting the model development as required and associated methodological documentation.

As Senior Modeller your skills and qualifications will include:

  • Previous experience building credit risk models, including knowledge of regulation, estimation and validation techniques relevant to compliance with IFRS 9.
  • High degree of mathematical literacy, e.g. at least a 2:1 degree or equivalent in a numerate discipline (Maths, Statistics, Sciences, Engineering, Operational Research, Physics).
  • Strong analytical and problem solving skills.
  • Advanced computer literacy, in particular SAS.
  • Detailed knowledge of business strategies and consumer finance products in either wholesale and/or retail markets, in particular residual risk methodology.

What we will be looking for in you:

Since you will be liaising with internal and external stakeholders extensively, you will need to demonstrate excellent verbal and written communication and presentation skills, the ability to engage across departments effectively at all levels and influence management and key stakeholders and with the ability to synthesise complex issues and explain them easily to non-technical audiences.

You will effectively prioritise actions and resources to deliver against objectives and demonstrate sound judgement as well as implementing policies, guidelines and procedures within the scope of responsibility, reviewing the quality and efficiency of these in order to formulate recommendations for improvement in line with best practice, statutory requirements and business objectives.

If you are interested and have the relevant experience, please apply promptly and we will contact you to discuss further.