This role will involve delivering quantitative developments of credit risk models for wholesale customers. You'll have the opportunity to develop and maintain statistical Credit Risk models such as probability of default, loss given default and exposure at default (PD, LGD and EAD). These models cover both regulatory capital models under the Advanced Internal Ratings Based (AIRB) approach and models used in the IFRS9 provisioning process.
What you'll do:
As a Senior Vice President - Quantitative Analyst, your role will be pivotal in leading model development and analytics projects, covering the full model lifecycle. You'll be responsible for ensuring data quality for model development, developing key components of credit risk models, assessing model performance, implementing models, and engaging with various teams. Your collaborative skills will be put to use as you work with colleagues across multiple regions to support the design of top-tier modelling approaches and metrics. Engaging with stakeholders from diverse areas will also be a significant part of your role.
- Ensure data quality assessment and data analytics for model development.
- Develop parts of credit risk models including PD, EAD and LGD.
- Assess model performance, model impact and report issues to the model development lead or manager.
- Implement models and engage with risk transformation and data teams on data feeding the model.
- Collaborate with colleagues across multiple regions to support the design of best-in-class modelling approaches and metrics.
- Engage with stakeholders across different areas and disciplines.
What you bring:
As a Senior Vice President - Quantitative Analyst, you bring a wealth of experience in wholesale modelling including PD, EAD and LGD. Your excellent understanding of credit risk modelling (AIRB and/or IFRS9) will be crucial in this role. Familiarity with regulatory requirements, primarily UK (PRA) or EU (EBA/ECB) based regulation is expected. Proficiency in manipulating large data sets, preferably in Python, and a deep understanding of credit risk related data is essential. Your ability to explain technical tasks and methodology to a wider audience will be highly valued. A proven ability of working across functions in a global environment is also required.
- Significant experience of wholesale modelling including PD, EAD and LGD.
- Excellent understanding of credit risk modelling (AIRB and/or IFRS9).
- Familiarity with regulatory requirements, primarily UK (PRA) or EU (EBA/ECB) based regulation.
- Proficiency in manipulation of large data sets, preferably in Python.
- Excellent understanding of credit risk related data.
- Ability to explain technical tasks and methodology to a wider audience.
- Proven ability of working across functions in a global environment.
What sets this company apart:
Our client is committed to being an inclusive employer and providing an inclusive and accessible recruitment process for all. They provide reasonable adjustments to remove any disadvantage to you being considered for this role. They are proud members of the Disability Confident Scheme, and offer an interview to disabled candidates who meet the minimum criteria for the role.
What's next:
Ready to take your career to the next level? Apply now!
Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates