Credit Risk Model Validator (Contract)

Recruiter
GCS Recruitment Specialists Ltd
Location
United Kingdom
Posted
25 Sep 2017
Closes
03 Nov 2017
Sector
Healthcare
Contract Type
Contract
Hours
Full Time
Model Validation Lead Analyst (Contract) The key accountabilities/responsibilities are as follows: The successful candidate will be expected to lead and/or contribute to a wide variety of projects, such as the following: - Lead the Initial/Periodic Validation of the PD, LGD and EAD models developed in the wider Risk Analytics Team to support the bank's status as an Internal Ratings Based (IRB) bank; - Lead the Initial/Periodic Validation of provisioning and loan loss forecasting models for retail portfolios as well as a range of Pillar II risk models; - Contribute to the compilation of IRBA applications for submission to the Joint Supervisory Team (JST) and in the engagement with JST on all model related issues and queries; - Engage with business units to promote and deliver a best in class analytics service consistent with their needs; - Keep up to date with best practice and regulation as it relates to credit models; - Ensure that models are used correctly to support lending decisions, loan management, portfolio management, pricing of credit, portfolio stress testing, provisioning, loan loss forecasting, debt recovery, regulatory reporting and financial planning. Minimum criteria for the role: - Expert knowledge of retail and non-retail credit modelling in an IRB context including PD, LGD & EAD methodologies and Low Default Portfolio considerations; - Postgraduate qualification in an analytical discipline; - At least 5 years' experience in an analytics related role, ideally within financial services; - Strong data management, analytical and reporting skills with experience of process improvement initiatives; - Extensive knowledge of statistical modelling techniques such as logistic regression, time series analysis and other prediction techniques; excellent skills in SQL, VBA and SAS programming
This job was originally posted as www.jobsite.co.uk/job/959168809