Credit Risk Modeller – AVP recruitment
The Credit Risk Modelling team is responsible for developing, validating documenting default probability (PD), loss given default (LGD) and exposure at default (EAD) models (behavioural scoring, credit grading and expert lender models) in line with Basel II and Group Model Risk Policy requirements.
Responsibilities of the role:
- Calibration of PD models dynamically (point-in-time through-the-cycle).
- Analysis and determination of input values for impairment calculations.
- Analysis and reporting of EAD and LGD models on a regular basis - MI production and investigation of adhoc queries.
- Develop new models, document to require internal standards and present to technical committees for approval.
- Undertake annual reviews of all models. Perform validations of existing credit risk models, covering model build and implementation. Present the findings to an approval committee relevant to the model's materiality.
- Develop and produce monitoring packs / management information.
- Undertake user testing for the implementation of new models.
- Validation and monitoring of unidentified impairment methodology parameters.
Candidates should have:
- 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.
- An 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..
- Able to produce high quality written communication including models documentation, results of research, and presentations for technical and non-technical audiences.
- Experience in the use statistics packages, such as SAS, Matlab, palisade, to perform analysis.
- Good level of programming ability.
- Strong understanding of robust and structured reporting platforms (SQL, SAS), ability to develop new reporting structures.
February 11, 2012
• Tags: AVP recruitment, Credit Risk Modeller, Risk Management careers in the UK • Posted in: Financial