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.
- 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.
- 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.