Credit risk modeller Credit risk modeller …

Empiric
in London, England, United Kingdom
Permanent, Full time
Last application, 21 Jul 19
Competitive
Empiric
in London, England, United Kingdom
Permanent, Full time
Last application, 21 Jul 19
Competitive
An excellent opportunity has arisen with a leading financial services organisation for an experienced credit risk modeller. The role will focus within the retail banking space.

Responsibilities:

  • Enhancing models built for IFRS9.
  • Developing scorecard and regulatory parameter models required for IRB.
  • Developing any other risk model requirements relating to provisions, stress testing, securitisations etc.
  • Developing and maintaining all required model documentation.
  • Developing model monitoring.
  • Participate in quantitative testing.
  • Develop champion challenger programs to constantly look for ways to improve the efficiency of the existing models. 
  • Be proactive in looking for improvements in data (new data, cross tabulations of existing data and variables) and model methodology to improve model performance.
  • Be proactive in anticipating changes to business, market and/or economic performance that could stress the model performance.

Experience:

  • Previous experience building credit risk models, including knowledge of regulation, estimation and validation techniques relevant to compliance with IFRS 9 and IRB.
  • Credit risk background.
  • Advanced computer literacy, in particular SAS.

Please only apply if you have the above experience.

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