Senior Credit Risk Modeller

The organisation

For an International Retail bank Robert Walters is searching for a Senior Credit Risk Modeller. The Bank develops and uses retail / credit risk models for IRB, IFRS9 and internal risk management purposes (loan acceptance, forecasting and stress testing, operations etc.). Interested? Please read further.

The position

Key Accountabilities

• Initial model development / redevelopment / monitoring of credit risk models (IRB, IFRS9, credit decision models, etc.);
• Ensure compliance with applicable regulatory requirements for capital and accounting risk models;
• Introduce model testing methodologies and standards;
• Introduce and challenge advanced statistical techniques development of credit risk models;
• Ensure a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements;
• Use state-of-the-art modelling techniques and ability to develop these further;
• Build and manage effective relationships with colleagues in the wider Risk team and across partnering business functions (such as Modelling and validation functions, Finance, Customer Analytics and Risk Infrastructure);
• Work pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models;

Candidate profile

Key Capabilities / Skills / Experience

• Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research), with knowledge of advanced statistical and analytical techniques.
• A highly analytical approach to problem solving.
• Data analytics skills and programming skills (SAS, Python)
• Ability to get things done under pressure, hands-on mentality and pro-active.
• Excellent English communication skills both verbal and in writing and ability to demonstrate these skills effectively across all levels of the organisation.
• Proven ability to work well within a team environment,
• Experience in credit risk modelling in the IRB and/or IFRS9 context (5+ years).
• Understanding of the regulatory environment and requirements for capital and accounting risk models (CRR, EBA RTS's and Guidelines, IFRS9).
• Understanding of modern risk management techniques within Retail Banking, and in the use of risk models within such an environment.
• Experience in the extraction and manipulation of data to support risk model development
• Experienced in the use of SAS and Python in risk modelling problems (advanced/proficient level).

Interested?

Are you interested? Then apply as soon as possible by using the form below.