Senior Associate - Credit Risk - IFRS/IRB - Modeling/Validation - Big 4

Credit risk modelling including IRB modelling

- IFRS9 provision modelling

- Credit risk stress testing

- Model validation and assurance

- Model governance and review

Performing a specialist review and audit of IFRs 9 credit risk models for our banking clients

- Providing advice to banks relating to future generations of IFRS 9 models and IFRS 9 forecasting.

- Advice and support in relation to IRB capital models - providing model development services, performing CRR (capital requirements regulation) attestations, and advising our clients as they develop IRB capital models for the impending regulatory changes.

- Support to Model Validation teams - carrying out end-to end model validation activities for all kind of models - IFRS 9, IRB, Market Risk, and Algorithmic models. This will include assessment of conceptual soundness, challenging underlying assumptions, validating data and assessing limitations of the models, performing quantitative testing in SAS/R/Python/SQL, and delivering exhaustive reports.

- Advising our clients on credit risk stress testing modelling approaches including various econometric modelling techniques.

- Interaction with stakeholders including credit risk managers, model development teams, and internal stakeholders.

- Helping to develop our internal IFRS 9 and IRB banking propositions to take to market.

- Maintaining an up-to-date view of regulatory and industry developments in relation to credit risk regulatory capital modelling, IFRS 9 modelling and credit risk stress testing modelling, sharing this with the wider team and maintaining leading edge best practice in work performed.

Essential Experience:

- Years of Experience required: 3-4 years

- Strong general knowledge of credit risk concepts.

- Experience with at least one of the following (or similar): SAS, SQL, R, Python

- Experience in credit risk modelling across Retail or Wholesale portfolios.

- Knowledge of SR 11-7 regulation by the US Federal Reserve and the IFRS 9 Standard by IASB.

Essential Skills:

- Exceptional communication skills, with emphasis on communicating technical complexity to both technical and non-technical audiences.

- Strong people management and client relationship skills including inter-personal sensitivity, influencing and negotiation skills.

- Ability to develop good client/internal client handling skills, including relationship-building skills that lead to increased consulting opportunities.

- Creativity and problem-solving skills in individual, team and collaborative consultant-client settings.

- Strong pro-activeness and initiative to participate and entrepreneurial attitude towards work.

- Agility and flexibility to work in different types of projects.

- Strong commitment to both personal and team success.

- Openness and willingness to share ideas and knowledge.

- Willingness to travel to client sites and other UK office locations.

Desirable skills/attributes:

- First class degree (or equivalent) in technical subject plus further qualification (such as MSc, PhD or professional qualification in relevant subject/area, e.g., mathematical finance or technical research involving maths or numerical programming).

- Experience in IFRS 9 modelling across secured and unsecured portfolios, including allowance for Forward looking scenarios

- Experience in writing model documentation at standards required for regulatory submission.

- Familiar with the CRR (capital requirements regulation) and the impending regulatory updates across the PRA, EBA and Basel Committee. In particular, knowledge of the Definition of Default and Hybrid PD regulatory updates