Description
Our Banking client requires a Senior Risk Modelling to join their team on an initial 3 month contract based in Canary Wharf.
Responsibilities
Development of Impairment, Probability of Default, Exposure at Default and Loss Given Default models required for Basel II Advanced Internal Ratings Bank status and the calculation of Basel II Regulatory Capital.
Provide business with insights and recommendations in order to improve strategy and process.
Identify opportunities to improve the models and processes in order to maximize value.
Opportunity to lead modelling projects end-to-end.
Identify and use cutting edge techniques to develop best in class decision tools.
Be pro-active in identifying and analysing the value of incremental information sources.
Share and seek out best practice across the modelling areas to develop self and mentor colleagues, to support the creation of a world class team.
Develop high-standard SAS code and model documentation. Delivering robust, predictive models and tools that are compliant with both internal and external regulations.
Present models to Model Review Committee for formal review and sign-off
Deliver high levels of accuracy and internal consistency/validation within own projects and provide support for colleagues with their projects.
Ensure accurate implementation of models and support their use, interpretation and monitoring.
Work closely with the model monitoring team to support timely and insightful model performance tracking, enabling the business to make rapid credit decisions against market condition changes.
Skills & Experience
Completion of a degree or equivalent in statistics, mathematics, operations research or related area or significant relevant experience
Passionate about data analysis and how this contributes to the business
Strong track record in performing data analysis and building predictive models, utilising a standard statistical package such as SAS (preferred) for large financial institutions
A self-motivated team player who is able to define, structure and prioritise work for self, but who also has the flexibility and capability to change priorities when circumstances dictate.
A good knowledge of data analysis, theory and multivariate statistical techniques (eg Logistic Regression)
An ability to produce reports and interrogate systems to produce analysis and resolve discrepancies/queries.
Expertise in the use of SAS Stat procedures such as "LOGISTIC", "REG" and "SCORE"
Ability to act as 'Team Expert' in a specialist knowledge area of analytics that will complement the detailed knowledge of other team members
Full understanding of Credit Risk Processes and Strategies, including knowledge of credit loss provisioning
A good understanding of the Group's Model Risk Policy
An understanding of the fundamental principles of the Basel II Accord and of IFRS IAS 39
For immediate consideration please submit your CV.