Skills and Competencies
- An in-depth understanding of the use of mathematical and statistical tools for credit risk model development, multi-factor regression, collinearity, concordance, ROC Curve, Gini etc..
- An ability to identify and analyse appropriate external data sources for model construction or validation.
- An ability to understand the relevance of appropriate data for use in high-level hypothesis testing.
- Able to produce high quality written communication including models documentation, results of research, and presentations for technical and non-technical audiences.
- Confident presentation of complex material to technical and non-technical audiences.
- Experience in the use statistics packages, such as SAS, Matlab, palisade, to perform analysis.
- Good level of programming ability.
- Strong understanding of robust and structured reporting platforms (SQL, SAS), ability to develop new reporting structures.
Knowledge and experience
- An understanding of all types of credit risk models (PD LGD & EAD), and their uses within a regulated bank.
- Good understanding of the Basel II or FSA requirements for the Pillar I AIRB approach to risk measurement.
- Good understanding of A–IRB Capital Calculation process.
- A high-level understanding of how non-statistical methods can be used for model development (e.g. expert lender models), as well as the application of statistical methods to Low Default Portfolios.
- Good understanding of wholesale banking and credit control procedures in the credit approval process
- Good understanding of financial accounts, their analysis and interpretation
- Good understanding or credit model governance within an AIRB framework.
- Highly numerate, as demonstrated by first degree, or Masters (or similar) in a highly numerate subject such as Mathematics, Operational Research, or Financial Engineering.
- At least 2 years experience in wholesale credit risk model building and testing related to wholesale lending
- Professional qualifications in risk management desirable – GARP-FRM.
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