Senior Credit Risk Modeller recruitment
Senior Credit Risk Modeler, £500-650 pd
Project Partners
Accountabilities
Perform technical analysis and reviews of new and existing credit risk models, to ensure continual improvement in credit risk methodology.
Influence key stakeholders in the business to adopt group standards for model development, validation, monitoring and governance
Identify appropriate internal and external data sources and gathering information to support analysis
Research application of new risk methodologies and approaches
Review regulatory requirements to ensure compliance with Basel II rules in IRB portfolios and support roll out portfolios moving to IRB.
Support the Director, Wholesale Credit Risk Measurement in their chairmanship of Group Material Models Technical Committee and participation in Executive Models Committee and FSA visits.
Support the development and review conformance with appropriate credit risk policies, including Group Model Risk policy, Pre and post notification and Senior Management Awareness
Technical Skills/Competencies
§ Good understanding of the use of mathematical and statistical tools I and techniques used in rating system development and validation of PD, LGD and EAD, including:
§ Structural models e.g. Merton based models such as KMV
§ Scorecards e.g. logistic regression
§ Non-statistical methods such as expert lender, and the application of low default portfolio techniques
§ Good understanding of statistical testing approaches of model performance such as Gini coefficient, receiver operating characteristics (ROC), and hypothesis testing, including strengths and weaknesses of various approaches when applied to different situations
§ An ability to identify and analyze appropriate external data sources for model development or validation
§ A good understanding of the relevance of appropriate data for use in high-level hypothesis testing
§ Production of high quality written communication including reviews of models, risk policies, results of research, and presentations for technical and non-technical audiences
§ Proven track record of working in a high performing team, and the ability to work and liaise with others in a multi-functional team
§ Basic level of programming ability
§ Good understanding of Basel II requirements and the FSA's interpretation of these
If you have the above please do not hesitate in sending your CV to felicitypritchard-witts@projpartners.com
Project Partners is part of Hydrogen Group.