Description
The Client
Our client is a bank based in London and is looking for an Interim SAS Modeller to working on an IRFS9 programme for an initial period of 6 months.
The Interim Manager
Reporting to the IFRS 9 Programme Manager, the SAS Modeller will be responsible for developing code used for performing and testing IFRS 9 credit risk model calculations, business impact analysis and management information reporting across corporate portfolios.
The role will involve:
- Developing model code using base SAS from model specification documentation.
- 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.
The Interim Manager
You will have:
- 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 corporate & commercial banking, associated products and credit processes.
- Knowledge of risk management and control processes appropriate to a financial services environment.