Credit Risk SAS Modeller recruitment
Our Quantitative Risk Management practice focuses on the evolution of the Risk function, and the redesign of associated operating models and architecture to enable a responsive and proactive Risk posture within firms, alongside the fundamentals of Risk Management from Risk Methodology, Modelling, Analytics e.g. CVA, PFE, EPE, VaR, and market leading technologies used to measure Economic Capital, Market, Counterparty and Liquidity Risk; and the subsequent provision of Risk information within firms.
We advise firms at every stage of the implementation cycle, by devising strategies and approaches that enable them to leverage their investment to transform organisational performance, market positioning and overall competitiveness.
As a Senior Manager, you will work with our clients to understand the impacts of new Risk measurement methodologies under Basel II/ III, on firm’s operational infrastructure, balance sheets and trading strategies; and subsequently assist in the delivery of enterprise wide change.
Core Deliverables
- Assisting in the technical review of new existing Credit Risk models and methodologies to ensure the continual improvement of the models being implemented
- Engage influence key stakeholders in the business to adopt group stakeholders standards for model development validation, controls governance to ensure a uniform approach
- Review existing (Basel II) regulatory requirements to ensure compliance
- Deliver high quality analysis with recommendations to senior management
- Ability to work with large volumes of data
- High attention to detail
- Proven ability to plan and document such activities
Experience Background
- 2 years+ relevant industry experience, in either a relevant Consultancy role or with a tier 1/2 Bank
- Deep understanding of Credit Risk Modelling Techniques (PD, LGD, EAD) and their relationship with RWA calculations.
- Detailed knowledge of secured and unsecured Retail portfolios
- Proven track record in the implementation of complex models
Qualifications Skills
- BSc or MSc within a quantitative subject
- Strong programming skills, in particular SAS and VBA
About Parker Fitzgerald
Parker Fitzgerald is a leading Professional Services firm specialising in the delivery of Risk, Regulatory and Finance Transformation within the UK Financial Services sector. Our clients include the world’s leading Investment Banks, Insurers and Hedge Funds with whom we work to deliver critical programmes and strategic change agendas.