Credit Risk Modeller (Monitoring) recruitment
The Wealth Credit Risk team is responsible for the credit risk management of the global lending portfolio. The company’s portfolio is split between Wealth International, Wealth Intermediaries and Corporates, and Private Banking and has shown strong growth since inception. Lending activity, together with the provision of financial trading facilities to clients, is a key platform behind the strategic growth objectives of the company. The team is global in nature and consists of approximately 85 staff across centres in London, Glasgow, Isle of Man, New York, Geneva, Singapore, Monaco and Iberia. The activities of the team cover Sanctioning, Restructuring and Recoveries, Credit Appetite and Control, Procedures, Credit Portfolio Analytics and Reporting, Credit Models and Measurement, Collateral Evaluation, Limits Management, Data Services and a number of Strategic Change Projects.
Purpose of role
The role involves ensuring model monitoring and governance is conducted in accordance with the requirements of the Group and cluster level Model Risk policies.
Candidates should be familiar with rating models and be able to contribute to the validation and calibration of PD/LGD/EAD models. Experience is required in Advanced Internal Ratings Based (AIRB) models, Risk Weighted Assets (RWAs), Economic Capital, Risk Adjusted Return on Capital (RAROC) / Return on Economic Capital (ROEC) and credit portfolio analysis.
Experience in documenting business processes and working on projects involving process changes will be required, along with excellent communication skills, as the candidates will work closely with Senior Management, Group Risk, Finance, Front Office, Credit Officers, Sanctioners, Operations, IT, Policy etc.
Core accountabilities
• Model monitoring: On-going model monitoring for presentation at cluster level Credit Measurement Committee, including validation and calibration of existing PD/LGD/EAD and impairment models in compliance with the Group Risk Models policy. This will typically involve quarterly model monitoring and reporting to ensure models remain accurate or are calibrated as required. Where models are identified as material at a Group level, this may require submission of model monitoring information to Group Technical Models Committee.
• Model implementation and training: Ensure all models are implemented accurately within the relevant technology platform (e.g. this can be spreadsheet, model risk engine / SAS etc) and support the business on an on-going basis with their knowledge and training requirements in relation to model inputs and outputs and how the models impact on credit sanctioning decisions and pricing etc.
• Governance and communication: Ensuring that all governance requirements as set out in Group and cluster level model risk policies are complied with. Managing cluster level working groups (e.g. Model Design Authority) and Credit Measurement Committee as required, and attending Group Model committees and forums on behalf of the Wealth cluster. Ensure all model workstream progress is communicated to the AIRB programme and Group Risk as required, with updates on key milestones on the AIRB project provided to key senior stakeholders.
Key clients (internal)
Key clients will be internal, within Credit Risk, Finance and Front Office business areas.
Role requirements
Academic and professional qualifications
The right candidate will have relevant experience in applying risk measurement techniques in an analytical role and will be qualified to degree level or equivalent - preferably in Mathematics, Statistics, Econometrics, Economics or Finance.
Professional/technical experience
Candidates must have a degree in a numerical discipline. Programming skills in VBA and/or C++/C# and/or SAS are preferred.
The right candidate will demonstrate robust knowledge and experience of credit risk analysis, preferably gained in a corporate risk environment. Knowledge and experience in credit risk methodology PD/LGD/EAD. An understanding of the FSA and other approaches to bank regulation particularly relating to Credit Risk and an understanding of quantitative and statistical modelling is essential. Understanding of RWA and EC methodology is essential
The successful candidate will demonstrate strong knowledge of corporate and retail credit risk concepts, risk measurement techniques and Credit policies and their application to the business. An understanding of quantitative and statistical modelling is essential, combined with knowledge in risk measurement techniques and their application to retail and wholesales businesses
Language and Numeric skills
The right candidate will have a sound command of the English language with strong written and verbal communication skills and be able to communicate effectively across all levels. Ability to present credit risk methodology in a simple manner to different stakeholders.
Personal Attributes
Results driven, flexible and professional under pressure with excellent team working skills; the right candidate will demonstrate excellent problem solving and decision making skills combined with influencing and negotiating skills. They will have the ability to deal with complex credit risk issues involving quantitative analysis and also have the ability to communicate these issues to all members of the team.