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
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