RMS Senior Associate - Credit Risk Modelling (focus on IFRS 9, Stress testing and IRB Models)

About the team

- The world of Risk and Regulation is changing; join us on the journey and be part of creating a new and relevant financial services industry.

- Our RMS (London) team is made up of 60 professional staff and our number and capabilities are expanding every day. We are looking to expand the Banking team in our RMS Mumbai office to advice leading banking groups on a wide variety of risk, value and capital management issues in the UK. These include:

- Credit risk modelling including IRB modelling

- IFRS9 provision modelling

- Credit risk stress testing

- Model validation and assurance

- Model governance and review

About the role :

The role will involve working with our existing team of approximately 60 banking model specialists to build on our current portfolio of projects in credit risk modelling and validation and increase our capacity and offering in the area of credit risk stress testing. This will include:

- Performing a specialist review and audit of IFRs 9 credit risk models for our banking clients in the UK.

- 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 stress testing credit risk 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 particular 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.

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