Description
Title: Credit Risk Modelling SMELocation: London
Start Date: 3rd November
End Date: 6 Months contract
Rate: £500 - £700 Per day
Overall Job Purpose
Working with the Group Risk validation team you will carry out the quantitative validation for all models across this tier one bank, which covers retail credit risk modelling. This includes capital models, decision scorecards, impairment modelling, as well as other models.
The Group risk validation team carries out inception validation to assist model approvers by assessing the model against key model risk drivers, and identifying potential model limitations. Reviews of model performance against model risk drivers are carried out annually thereafter.
The Role:
The core responsibility of this role is to carry out quantitative validation on high materiality regulatory capital and decision scorecard models. Key Accountabilities
- Quantitative Model Validation
- Provide independent theoretical model challenge.
- Statistical testing of model performance.
- Independently test, and potentially rebuild model components to understand more fully its operation.
* Identification of model assumptions and limitations
* Communication to key stakeholders. This includes model developers, business owners, and model approvers.
* Assess model performance against model risk drivers, and regulatory requirements.
Experience required
- Extensive technical knowledge of retail credit risk modelling
- Strong understanding of the model development and/or validation process
- Strong understanding of the evolving regulatory environment and its challenges
- Proven ability to deliver timely high quality analytical work in a relatively unsupervised environment
- Programming skills. Particularly useful would be experience in SAS programming.
- Communication skills, ability to communicate effectively to senior technical specialists (Model Developers, Model Validation, Risk Managers etc) and senior non-technical individuals
Preferred
- Postgraduate qualification in quantitative discipline.
- Retail credit risk model validation experience