Modelling Manager / IFRS9 Model Manager

  • Competitive
  • Epsom, Angleterre, Royaume-Uni Epsom Angleterre GB
  • CDI, Plein-temps
  • Empiric , Numéro de Licence EA : 11C5671
  • 09 juil. 18 2018-07-09

An experienced modeller who has previous experience of IFRS9 is required for a leading bank.

The Senior Modeller will be primarily responsible for the development, monitoring and calibration of admission and behaviour scorecards, regulatory parameter models (PD, LGD and EAD), credit provisioning models, and any other quantitative model and managing the a small methodology team

Responsibilities:

  • Lead, develop and motivate the Methodology team consisting of model development experts, as well as writing model documentation as part of the internal and external approval process. 
  • Ensure strong governance and control of models to minimize model risk in the bank.
  • Actively engage with internal and external stakeholders.
  • Drive the further development of the model inventory with new models and techniques aiming at continuously improving credit risk models in use, as well as consider how industry best practices and trends can influence the area whilst still securing compliance with corporate model framework.

Experience:

  • Previous experience building credit risk models, including knowledge of regulation, estimation and validation techniques relevant to compliance with IFRS 9 and IRB.
  • High degree of mathematical literacy, e.g. at least a 2:1 degree or equivalent in a numerate discipline (Maths, Statistics, Sciences, Engineering, Operational Research, Physics).
  • Strong analytical and problem solving skills.
  • Advanced computer literacy, in particular SAS.