Description
Our client a leading UK bank are currently looking to bring on a contractor to support with the credit risk and rating framework. The focus will be in the development of IRB (PD, EAD and LGD) and IFRS9 models. The role will be based in London for 5 months, starting in January/February.
Following skills required
- Extensive modelling experience
- IRB PD, LGD and EAD and rating systems
- Stress testing experience
- Good knowledge of forecasting methodologies
- Excellent working knowledge of CRA and behavioural data
- Expert level knowledge in SAS or SPSS