Credit Risk Modeller AVP recruitment
The role will require you:
- Calibrate PD models
- Produce analyses to set input values for impairment calculations.
- Analyse and report on the performance EAD LGD models on a regular basis including investigating ad hoc queries.
What will the role involve?
Responsibilities in this role are to:
- Develop new models, document and present to technical committees.
- Undertake annual reviews of all models. Perform validations of credit risk models, covering model build and implementation. Present the findings to an approval committee
- Develop and produce monitoring packs / management information
- Undertake user testing for the implementation of new models
- Complete post implementation reviews for all models
Qualifications
Essential skills:
- In-depth understanding of the use of mathematical and statistical tools for credit risk model development, multi-factor regression, collinearity, concordance, ROC Curve, Gini etc..
- Ability to identify and analyse appropriate external data sources for model construction or validation.
- Able to produce high quality written communication
- Confident presentation of complex material to technical and non-technical audiences.
- Experience in the use statistics packages, such as SAS, Matlab, palisade.
- Good level of programming ability.
- Strong understanding of robust and structured reporting platforms (SQL, SAS), ability to develop new reporting structures.
Required knowledge and experience:
- An understanding of all types of credit risk models (PD LGD EAD), and their uses within a regulated bank.
- Good understanding of the Basel II or FSA requirements for the Pillar I AIRB approach to risk measurement.
- Good understanding of A-IRB Capital Calculation process.
- A high-level understanding of how non-statistical methods can be used for model development (e.g. expert lender models), as well as the application of statistical methods to Low Default Portfolios.
Finance Professionals is part of Hydrogen Group.
April 9, 2012
• Tags: Credit Risk Modeller AVP recruitment, Risk Management careers in the UK • Posted in: Financial