Manager Credit Risk Models

Negotiable
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PLEASE CONTACT

TAMRYN GEORGE

Our client, a leading Tier 1 Bank in London, is looking for a highly skilled Credit Risk Model Manager who will assist with the development of credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the wholesale and retail portfolios.

Key responsibilites:

Actively contribute to the development of Internal Credit Risk Models for regulatory purposes (essential: AIRB parameters (i.e. PD, LGD, EAD); as a plus: IFRS9).

More specifically: statistical analyses, SAS programming, db management, data quality etcetc + understanding of relevant Regulatory environment (essential: CRR, EBA, as a plus: IFRS)

Continuously improve the models' performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.


Skills required:

2-4 years of experience as an analyst/senior analyst/specialist in the credit risk modelling: advanced statistics, analytics, problem solving, good knowledge of SAS programming, familiarity with relevant Regulatory requirements

Direct modelling experience (development or validation) on Credit Risk IRB modelling projects on banking side

12 month contract / Pay rate - £450 PAYE

If you meet the requirements and interested in this opportunity, please send your CV to: tgeorge@mcgregor-boyall.com

McGregor Boyall is an equal opportunity employer and do not discriminate on any grounds.

 

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