- 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.
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)
- Economic and Regulatory Capital
- Stress Testing
- 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.