VP - Wholesale Credit Risk Modeling - Investment Bank

Overall purpose of role

- Support the development, calibration, monitoring and documentation of credit risk models in line with regulatory requirements, e.g. Basel, CRR, CCAR, IFRS9

- Enhance model management through automation and development of monitoring packages

Key Accountabilities

- Calibrate new credit risk models, contributing to the development through approval

- Validate performance of new models; develop and deploy model monitoring scripts

- Maintain model documents to required standards

- Manage parts of complex projects, liaising with stakeholders to ensure project progress

- Motivate team members and junior staff to deliver high quality output within tight deadlines

Essential Skills/Basic Qualifications:

- Post-graduate degree in a quantitative discipline, such as Statistics, Mathematics, Econometrics, Physics, Engineering, with experience of developing and applying statistical models within credit risk domain

- Excellent knowledge of statistics, e.g. regression analysis, reject inference, decision trees, confusion matrix, cross-validation

- Numerical programming ability using R and/or Python, and working experience with SQL

- Experience in data visualization, cleaning, and feature extraction