SAS Modeller

  • GBP700.00 per day
  • London, England, United Kingdom
  • Contract, Full time
  • Morgan McKinley
  • 05 Jul 16

SAS Modeller A bank based in London are offering a 6 months contract paying up to £700 per day to a SAS Modeller specialising in credit risk models.

SAS Modeller

A bank based in London are offering a 6 months contract paying up to £700 per day to a SAS Modeller specialising in credit risk models.

The scope of the credit risk models extend to:

  • Probability of Default (PD)
  • Loss Given Default (LGD)
  • Exposure at Default (EAD)
  • Provisioning
  • Economic and Regulatory Capital
  • Stress Testing
  • Pricing

Key Responsibilities

  • Code development to support model calculations and disclosures from requirements documentation authored by Business Analysts.
  • Analysis to determine the availability, primary source and appropriateness of data sources used for model development.
  • Cleansing, transforming, and validating data used for decision making.
  • Building data attribute definitions, model table structures, source system interfaces and business rules to ensure quality control and deliver exception reporting.
  • Designing database schemas to support efficient data storage and retrieval using a standard relational database approach.
  • Analysis and design of base SAS solutions to meet the requirements of complex data processing as part of a quantitative model.
  • Supporting the database/calculation/reporting in SAS applications during testing and rollout.

Essential Skills and Experience

  • Understanding and experience of credit risk model design in SAS, including parameter tables, model operational design and development relevant to compliance with IFRS 9.
  • High degree of mathematical literacy.
  • Knowledge of corporate & commercial banking, associated products and credit processes.
  • Knowledge of risk management and control processes appropriate to a financial services environment.
  • Broad understanding of infrastructure supporting risk management processes and reporting.

Morgan McKinley is acting as an Employment Business in relation to this vacancy.