Credit Risk Modeller- IRB, Python, R Credit Risk Modeller- IRB, Python, R …

Resource Solutions
in London, United Kingdom
Contract, Full time
Last application, 25 Nov 20
Negotiable
Resource Solutions
in London, United Kingdom
Contract, Full time
Last application, 25 Nov 20
Negotiable
Credit Risk Modeller 12 month Contract Remote then London based Large Investment Banking client

Team Profile:

The EMEA Risk Management Division is responsible for the independent identification, analysis, reporting and escalation of all market, credit and operational risk exposures arising from UK Group business activities, acting independently of the business and providing an effective challenge process. The Credit Risk Methodology Group is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements.

Primary Responsibilities:

Credit Risk Methodology Group (CRMG) is responsible for the development of credit risk rating models (IRB) for risk management purposes. Primary responsibilities for this role include:

  • Contribute to development or enhancements of existing IRB models for global use, while ensuring compliance with different regulators (USA, UK, EU, Germany) and internal standards
  • Work closely with EMEA Head of IRB and the global CRMG team to support projects such as
  • Model developments
  • Preparation for regulatory workshops
  • Benchmarking
  • Model testing and model performance monitoring
  • Ensure projects, including model developments and implementations, comply with Global Risk Analytics standards
  • Coordinate with and support credit analysts, capital teams and model risk management team (among others)

Skills required:

  • Master's degree or equivalent background in a quantitative discipline
  • At least 2 years of work experience in the Financial Industry
  • Strong understanding of wholesale credit products and associated risks
  • Hands-on experience and solid skills of IRB credit risk modeling
  • Hands-on programming (R, Python) and database skills (SQL)
  • Strong communication skills, including inter-personal and documentation skills
  • Knowledge of wholesale exposure modelling
  • Excellent communication, written, presentation and relational skills
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