Senior Credit Modeller

Recruiter
Investec Bank
Location
United Kingdom
Posted
15 Apr 2018
Closes
18 Apr 2018
Contract Type
Permanent
Hours
Full Time
Description of Role and Key Responsibilities Leading the Credit Risk Modelling team Managing Model delivery deadlines Stakeholder management Mentoring and guiding junior members of the team Review of Model documentation produced by team Development and prototyping of methodologies for calculating PD, LGD, EAD and other Credit Models within a low default portfolio/low data environment, taking cognisance of the requirements of Basel III A-IRB methodology and PRA Supervisory statements. Development of IFRS 9 PD, LGD, EAD and Behavioural Profile/Maturity models. Coding of Models into MatLab/ R for development and Production purposes. Ad-Hoc Analysis to support Model Approval and Model Reporting. Assisting the team business analyst with the roll out, training and implementation of the models within credit and the business Validation, calibration and back testing of the above models Documentation of the methodology, process and techniques used in models developed Development, prototyping and implementation of portfolio risk metrics and models. Research, design and implementation of best practice methodologies for quantifying credit risk Working as part of a team, as well as a remote team, and in conjunction with Business Units. Keeping up to date with the latest Market and Regulatory Developments. Core Skills and Attributes Technical knowledge Commensurate level of Computer processing skills, e.g. Visual Basic, MatLab, R Proficient in Excel, databases/ SQL and Microsoft Office A statistical, mathematical, financial or economic background An understanding of the IRB Modelling requirements and process. Experience in developing IRB models for low default portfolios, particularly specialised lending portfolios Experience in developing practical solutions for modelling risk where little data is available. Skills and how they are applied Analytical skills: Quantitative Problem Solving and Judgement. Writing, communication and presentation skills. Managing Project deadlines Personal attributes Motivating team members Communication Skills Self-motivating, with the capacity to work independently, as well as within the team framework. Useful Skills Understanding of Investecs business to facilitate the design of models that are applicable to the business A knowledge and understanding of the Basel II model terminology and how that is applied in practice Practical knowledge of Banking Previous modelling experience specifically around credit scoring and rating. - provided by Dice BASEL II, CREDIT RISK, MATLAB, MICROSOFT, SQL, STAKEHOLDER MANAGEMENT, VALIDATION

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