Senior IRB Quantitative Analyst
Location: Redhill
Job Type: Full-time, Hybrid (minimum 2 days in-office)
Salary: Competitive
We are seeking a Senior IRB Quantitative Analyst to join our leading Motor Finance company. The successful candidate will be responsible for the development and maintenance of scorecards and models as part of the SCUK IRB rollout process. This role requires a professional with extensive knowledge and experience in model development and validation within an IRB or IFRS9 environment.
Day to Day of the role:
- Develop IRB models including Rating, PD, LGD, and EAD models, as well as stress testing models, in line with internal policies and standards.
- Produce comprehensive model documentation and reports using MS Word, SAS/R, and Excel.
- Manage ongoing model maintenance (calibration) and monitoring post-IRB implementation.
- Design and improve models for business use, proactively engaging with business and other stakeholders.
- Ensure models are up to date with regulations and business requirements.
- Analyse the impact of changes in business activity, market, and economic performance on model performance.
- Contribute to regulatory self-assessment for IRB and coordinate responses on regulatory requirements.
- Support data provision for model testing and monitoring using SAS/R and Excel.
- Conduct ad hoc model testing and recalibration based on monitoring results and remediation needs.
- Represent the company in internal and Group committees and forums.
- Independently present monitoring results and associated measures to stakeholders.
Required Skills & Qualifications:
- Extensive experience in model development and validation in an IRB or IFRS9 environment.
- Proficiency in statistical data programs such as SAS, Python, R.
- Good understanding of IRB regulations (CRR, PRA, EBA) for modelling purposes.
- Substantial knowledge of credit risk and products.
- Experience with a variety of statistical techniques.
- Ability to translate technical and regulatory terms to stakeholders in a non-technical manner.
- Strong Microsoft Office skills, particularly Excel.
- Analytical background with strong numerical skills.