Associate Director – Wholesale Credit Risk Management recruitment
Associate Director- Wholesale Credit Risk Measurement
The candidate will be responsible for providing technical support, review, challenge and oversight of all development and validation of wholesale models across the group. The successful candidate will also be responsible for ensuring quality credit risk measurement policies, processes and systems are in place.
Background:
Candidates who apply should have an advanced mathematical model development background, a good understanding of mathematical and statistical tools used in the development and validation of PD, LGD EAD e.g. Merton based models (KMV).
Experience / Skills required:
- Strong wholesale and/or retail modelling background - PD, LGD and EAD
- Strong understanding of Merton based models such as KMV
- Scorecards e.g. logistic regression
- Non-statistical methods such as expert lender and also the application of low default portfolio techniques
- The ability to analyse appropriate external data sources for model development and validation
- Good understanding of banking book environment
- Good understanding credit risk related products for loan book and trading book and associated risk in a wholesale environment
- Strong understanding of Basel II requirements for the FSA
- Highly numerate candidate as demonstrated by a First degree, Masters or PhD in a highly numerate subject
- Experience in the use of statistical packages such as SAS
Please apply via the link provided or direct - cmensah@mcgregor-boyall.com