Description
Job Summary
The Central Stress Testing Capability programme is designed to deliver a scenario based stress testing capability to meet Senior Management and Regulatory expectations.
Modellers are required to develop and apply first class credit portfolio modelling techniques in the production of scenario based stress testing models for the banks material portfolios.
Specific detail and core responsibilities
- Work with dedicated data analysts by specifying data requirements to them and helping them to source and package the appropriate data from the business units.
- Deliver accurate, reliable, robust and complete portfolio models within agreed timescales and to the bank's standards.
- Use industry standard statistical analysis software package (SAS) to develop the portfolio models according to rigorous statistical methodologies.
- Document the models built according to the banks model governance standards.
- Ensure that the models pass through the model approval process.
- Manage handover of completed models to the BAU owners of the models; training users and produce any supporting material needed to facilitate this.