Senior Credit Risk Modeller

You are Model Development and Monitoring function of the Risk Management & Controlling department. The Bank develops and uses retail / credit risk models for IRB, IFRS9 and internal risk management purposes (loan acceptance, forecasting and stress testing, operations etc.). Interested? Please read further.

Description

Key Accountabilities
* Initial model development / redevelopment / monitoring of credit risk models (IRB, IFRS9, credit decision models, etc.);
* Ensure compliance with applicable regulatory requirements for capital and accounting risk models;
* Introduce model testing methodologies and standards;
* Introduce and challenge advanced statistical techniques development of credit risk models;
* Ensure a reliable infrastructure, including models, data, control environment and compliance with internal policies and external regulatory requirements;
* Use state-of-the-art modelling techniques and ability to develop these further;
* Build and manage effective relationships with colleagues in the wider Risk team and across partnering business functions (such as Modelling and validation functions, Finance, Customer Analytics and Risk Infrastructure);
* Work pro-actively with IT and operational areas to drive forward and mitigate issues in the implementation and use of the models;

Key Capabilities / Skills / Experience
* Postgraduate qualification in a relevant subject (econometrics, statistics, maths, operational research), with knowledge of advanced statistical and analytical techniques.
* A highly analytical approach to problem solving.
* Data analytics skills and programming skills (SAS, Python)
* Ability to get things done under pressure, hands-on mentality and pro-active.
* Excellent English communication skills both verbal and in writing and ability to demonstrate these skills effectively across all levels of the organisation.
* Proven ability to work well within a team environment,
* Experience in credit risk modelling in the IRB and/or IFRS9 context (5+ years).
* Understanding of the regulatory environment and requirements for capital and accounting risk models (CRR, EBA RTS's and Guidelines, IFRS9).
* Understanding of modern risk management techniques within Retail Banking, and in the use of risk models within such an environment.
* Experience in the extraction and manipulation of data to support risk model development
* Experienced in the use of SAS and Python in risk modelling problems (advanced/proficient level).

Are you interested? Then apply as soon as possible!