Credit Risk Modeller recruitment

Responsibilities include:
Model monitoring: On-going model monitoring for presentation at Credit Measurement Committees.
Validation and calibration of existing PD/LGD/EAD and impairment models in compliance with the Group Risk Models policy.
Quarterly model monitoring and reporting to ensure models remain accurate or are calibrated as required. 
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
Knowledge and training requirements in relation to model inputs and outputs and how the models impact on credit sanctioning decisions and pricing
Governance and communication: Ensuring that all governance requirements as set out in model risk policies and are complied with.

Candidate requirements:
Robust knowledge and experience of credit risk analysis, preferably gained in a corporate risk environment.
Relevant experience in applying risk measurement techniques in an analytical role
Qualified to degree level or equivalent - preferably in Mathematics, Statistics, Econometrics, Economics or Finance.
Programming skills in VBA and/or C++/C# and/or SAS are preferred.
Knowledge and experience in credit risk methodology PD/LGD/EAD.
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.
The successful candidate will demonstrate strong knowledge of corporate and retail credit risk concepts, risk measurement techniques and Credit policies
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.
An understanding of quantitative and statistical modelling is essential, combined with knowledge in risk measurement techniques and their application to retail and wholesales businesses.