IFRS9 Quantative Modeller

London  ‐ Onsite
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Description

Models Used

  • Probability of Default (PD)
  • Loss Given Default (LGD)
  • Exposure at Default (EAD)
  • Provisioning
  • Stress Testing

The job holder is responsible for:

  • Support the review and validation and or developmentof assigned Wholesale and Retail Credit Risk models used within the bank to support both internal management of the bank's financial resources and external disclosure of the same.
  • Sourcing internal and external credit risk data to run models.
  • Supporting the testing of model code developed in SAS.
  • Support operational batch processing and exception reporting of models in SAS.

Person Specification

  • Proven model development expereinece
  • Understanding and experience of credit risk model design in SAS, including parameter tables, model operational design and development relevant to compliance with IFRS 9.
  • High degree of mathematical literacy.
  • Strong analytical and problem solving skills.
  • Knowledge of retail and commercial banking, associated products and credit processes.
  • Knowledge of risk management and control processes appropriate to a financial services environment.
  • Broad understanding of infrastructure supporting risk management processes and reporting.

McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.

Start date
n.a
From
McGregor Boyall
Published at
21.06.2016
Project ID:
1152018
Contract type
Freelance
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