Credit Risk Modeller - Contract

Dublin  ‐ Onsite
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Description

Role Purpose

Following on from the development of new mortgage capital LGD models, a project has been launched to develop a complementary suite of provisions models for both provisions estimation and provisions forecasting.

Role holders will:

  • Develop models that accurately forecast the bad debt charge for the bank's mortgage portfolio throughout the economic cycle
  • Build on capital LGD model structures to develop appropriate provisions estimation approaches
  • Support the development of cure, haircut, cost and other component models of a mortgage provisions model
  • Contribute to the development of best estimate PD models used for latent provision estimation
  • Support the development of mortgage provisions forecasting models used in the planning cycle
  • Document all aspects of model development activities
  • Analyse and solve other modelling challenges as they arise
  • Build and run the new suite of provisions models on a SAS platform
  • Build and run a new suite of provisions forecasting models on a SAS platform
  • Document all aspects of model development activities

Person Profile

Ideally with strong credit risk experience, you'll be in possession of advanced software skills including Excel, SQL and SAS. The ability to think logically through complex issues is of paramount importance. We'd like to see prior experience of working to challenging reporting deadlines. A quantitative primary degree or equivalent is essential. Your strong analytical and problem solving skills will be challenged on this assignment, as will your ability to communicate complex ideas to a wide non-technical audience.

Start date
ASAP
Duration
6 months
From
GCS
Published at
28.02.2017
Project ID:
1295909
Contract type
Freelance
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