Model Developer - Retail/Wholesale Credit Risk

Role will require closely working with the Enterprise Risk Analytics (ERA) team of our client (a large bank) which is responsible for developing and managing wholesale and retail IRB, IFRS 9 and stress testing credit risk models.

- Key responsibilities include helping the bank with various aspects of the model development, model monitoring and enterprise risk analytics

- End-to-end development of risk models (IRB, IFRS9, Custom Scorecards, stress testing and others) and other risk analytics for wholesale / retail banking and small business lending portfolios.

- Coordinate with regulatory policy experts in finalising the documentation template and items to be documented.

- Document the models as per PRA and SR 11-7 regulatory guidelines

- Support business implementation of Regulatory and Scoring models and providing analytical support to bank's businesses across the globe

- Develop summaries and documentation for PRA regulatory submissions. Depending upon the seniority represent the team for review/approval committees

Qualification Masters /MBA degree in a quantitative discipline - Mathematics, Statistics, Economics, Physics,

Financial Engineering, Finance. PhD will be a plus.

Skills Required

- Experience in model documentation, development, model validation or stress-testing

- Strong experience in end-to-end model development (PD, EAD, and LGD) cycle, from data gathering and cleansing to the documentation, presentations to key stakeholders and maintaining minutes of key decisions.

- Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, IFRS9, Stress Testing, ECL etc.)

- Experience and proficiency in areas of statistics, applied mathematics; good understanding of wholesale and retail banking / small business / consumer finance products and business life-cycles

- Strong programming experience in more than one of the following - SAS, Python, R

- Excellent communication skills, both written and oral

- Analytical, Strategic and Conceptual thinking and Problem-solving skills

- Highly motivated, organized, attentive to details and me

Mandatory skills:

- Hands on Modelling skills in SAS - Must

- Strong understanding on PD/ LGD and stress testing - Must

- Strong understanding on economic capitals and enterprise risk model - Must

- Strong regulatory understanding covering US or UK or Europe requirement

- Strong skills into end to end model life cycle covering DATA, Modelling, Usage of the model and ongoing performance monitoring