The RoleResponsibilities:Advising clients on the impact of changing requirements in provision accounting standards (IFRS9) and Basel credit risk capital requirements (IRB).
This will model review and validation activities such as:Technical model development documentation review;Assessment of model performanceReplication testing; andReviewing models' against IRB regulatory requirements.
The individual will also be expected to perform technical analysis for workstreams within both IRB, IFRS9 and credit risk modelling engagements.The individual will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions.The PersonKnowledge & Experience:Minimum 3 years' experience working in a credit risk modelling role within a financial or professional services firm.Practical experience in credit risk modelling techniquesKnowledge and practical experience in accounting and risk requirements as related to IRB, IFRS9, and other regulatory credit risk modelsDetailed working knowledge and experience of all aspects of model development and validation including the following:Data extraction and pre-processingModular model developmentUser acceptance testingModel performance assessmentsRelevant Sectoral experience – developing Retail/ Wholesale banking PD/EAD/LGD modelsKnowledge and experience of credit risk processes, governance and documentationQualifications & Skills:Ability to communicate risk/finance requirements of IRB and/or IFRS9 to the reciprocal function, i.e.
risk to finance and finance to riskAbility to understand and execute programming code including SAS, R, PythonFlexibility and agility to contribute in a senior capacity to a broad range of banking risk engagementsExcellent oral / written communication, planning, project management, networking and influencing skillsFlexibility to work across the UK (and internationally) where required