Wholesale Credit Risk Modeller
My client one of the UK's major Financial Services Regulator's is looking to recruit a Wholesale Credit Risk Modeller to their Wholesale Credit Risk team based in city.
The Wholesale Credit Risk Modeller will work in the following areas;
• Developing, testing, validating and maintaining models and methodologies for credit risk stress testing and scenario analysis on Wholesale and SME portfolios
• Identification and quantification of the sensitivity of models to key parameters
• Regular model and parameter validation
• Running stress testing models post-development and communicating the results to key stakeholders through the appropriate media and forum(s)
• Work with the Risk Architecture data teams to develop and/or maintain the Wholesale stress testing data templates and ensure they remain fit-for-purpose
• Developing MI on the stress test data and outputs for distribution to broad audiences
• Provide support to the Lead Wholesale Credit Modeller working with firms to understand and document their stress testing approaches.
The Wholesale Credit Risk Modeller will have the following;
• Strong experience of Wholesale and SME credit portfolio modelling
• Proven quantitative skills: qualified ideally to MSc, or equivalent, level in a quantitative or financial discipline
• Ability to define, understand and explain the methods of forecasting Wholesale credit impairments
• Familiarity with the Basel III/CRD IV concepts of PD, LGD, EAD,
• Ability to have close engagement and collaboration with numerous stakeholders in a large financial organisations
• Strong verbal and written communication skills
• Flexibility and resilience - able to work under pressure in an environment where priorities may change at short notice
• Ability to deal constructively with uncertainty and ambiguity
• Proven ability to create working prototypes of models in environments such as Excel VBA, Matlab, SAS or equivalent
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