Description
Our London based Retail Banking client is seeking a Statistical Modeller.
Main function of the job
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Develop, document, and calibrate credit risk models in line with IFRS9 accounting standards & regulatory requirements.
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Support user understanding of models and investigate ad hoc queries.
- Enhance model management through automation and development of new approaches.
Main duties and responsibilities
- Develop credit risk models (70%)
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Develop IFRS9, LGD, EAD and PD credit risk models, managing the development through technical committees with key stakeholders.
- Validate performance of new models.
- Document new models to required standards.
- Support model use (30%)
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Support & test the model implementations.
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Maintain open dialogue with other modellers and validation teams on model developments and reviews.
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Address modelling queries from user community, looking at specific customer ratings and their calculation.
Essential skills:
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Qualifications/Education
Masters in a highly numerate discipline (Mathematics, Statistics, Physics, Engineering, Economics);
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Strong knowledge of applied statistics (eg regression analysis, reject inference, decision trees, cluster & time-series analysis);
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Experience of developing & applying statistical models.
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Strong numerical programming ability using R and working experience with SQL;
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Production of high quality written communication including results of research and presentations for technical and non-technical audiences;
Preferred
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Understanding of the quantitative techniques used in developing and validating PD models;
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2+ years experience in statistical modelling and model testing;
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Experience with handling large datasets;