Description
- Probability of Default (PD)
- Loss Given Default (LGD)
- Exposure at Default (EAD)
- Economic Capital
- Stress Testing
The job holder is responsible for working with the Senior Team Leads in London to:
- Validate model code using base SAS from model specification documentation.
- Source internal and external credit risk data used to run models.
- Support testing of model code developed in SAS and the firm's strategic model system.
- Support operational batch processing and exception reporting of models in SAS.
Day-to-day activities include:
- Analysis to determine the availability, primary source and appropriateness of data sources used for model development in accordance with the team's detailed work plan.
- Validate data attribute definitions, model table structures, source system interfaces and business rules to ensure quality control and deliver exception reporting.
- Designing database schemas to support efficient data storage and retrieval using a standard relational database approach.
- Analysis and design of base SAS solutions to meet the requirements for complex data processing as part of a quantitative model.
- Supporting the database/calculation/reporting SAS applications during testing and rollout.
- Ensuring that all model data related work meets regulatory requirements and internal policy standards.
The job holder will provide expert guidance to senior team leads and various stakeholders across the divisions to build models, databases and associated reports in SAS supporting the team's modelling and MI objectives.
McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.