Your tasks:
To further advance the development of new models and enhance existing models, including scorecards, we are looking for a senior credit risk modeller.
- Leading the local model development and ensure the local regulatory requirements are taken into account.
- Liaising with the UK model development team, building relationships with all stakeholders, communicating all business requirements and implications clearly and delivering required output to agreed plans and timescales
- Sparring partner and advisor to senior management
- Ensuring a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements
- Using up-to-date model development standards and processes
- Building and managing effective relationships with colleagues in the wider Risk team and across partnering business functions (such as Modelling and validation functions, Finance, Customer Analytics and Risk Infrastructure)
- Supporting junior colleagues in the development of their modelling skills
- Working pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models
- Delivering all individual key tasks across the model life cycle to agreed timescales with minimal ongoing management, anticipating constraints and taking mitigating actions
Your knowledge/experience:
- Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research)
- Excellent English communication skills both verbal and in writing
- Business reporting and statistical analytical skills to comprehend local systems in SAS and SQL programming language
- Experience related to participation in larger model development projects
- Good understanding on regulatory requirements regarding internal models for retail credit risk - internal ratings based approach (IRB) - such as CRR, relevant EBA Regulatory technical standards and EBA Guidelines
- Experience in the development of Retail (Capital) models
- Good knowledge of modern risk management techniques within Retail Banking
- Experience in the extraction and manipulation of data to support risk model development