Description
Models Used
- Probability of Default (PD)
- Loss Given Default (LGD)
- Exposure at Default (EAD)
- Provisioning
- Economic and Regulatory Capital
- Stress Testing
The job holder is responsible for:
- Developing model code using R from model specification documentation.
- Sourcing internal and external credit risk data to run models.
- Supporting the testing of model code developed in R.
- Support operational batch processing and exception reporting of models in R.
Person Specification
- Understanding and experience of credit risk model design in R, 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.