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Credit Risk Modeller
Description

Background on project:

A new Project has been created to achieve IRB Capital status for the SME portfolio, this will run for 2 years. The Project aims to develop statistical credit loss model for Corporate SME portfolio.

Key Responsibilities:

  • Model development from inception through to documents submission and validation.

  • Documenting data requirements

  • Rating model review

  • PD model build

  • EAD model build

  • LGD model build

  • Scoping the work with model owners

  • Initial data analysis, identifying issues.

  • Running working groups with key stakeholders

  • Documenting for regulatory submission

  • Building models in suitably transparent manner to enable validation by 3rd parties

Required Skills and Experience:

Candidates will be required to have experience with the following:

  • Extensive knowledge and experience of SAS
  • Previous experience developing and working with credit risk models
  • Advanced-IRB and IFRS9 experience within corporate or retail banking
Job Details
Job Ref: 338048430
Start Date: Sun, 30 Sep 2018 23:00:00 EST
Hours: Not Specified
Location: London, United Kingdom
Working Term: Permanent
Salary: GBP GBP - Annual Annual

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