Quantitative Modeller
Location: Redhill
Job Type: Full-time, Hybrid (minimum 2 days in-office)
Salary: Competitive
An exciting opportunity has arisen within the Risk Methodology team for a Quantitative Modeller. Reporting to the Head of Methodology, you will be pivotal in developing, monitoring, and maintaining various quantitative Credit Risk models across Retail and Wholesale portfolios. This role is ideal for someone with substantial experience in building statistical models in SAS and a strong understanding of IFRS 9 regulations.
Day to Day of the role:
- Develop, monitor, and maintain scorecard and regulatory parameter models for IFRS 9.
- Handle additional Risk model requirements relating to provisions, stress testing, securitisations, etc.
- Maintain comprehensive model documentation.
- Provide expert statistical and technical advice to support the business.
- Implement model monitoring and develop champion challenger programs to enhance model efficiency.
- Seek improvements in data and model methodology to boost model performance.
- Analyse the impact of business activity, market, and economic changes on model performance.
- Collaborate with local model owners to specify data requirements.
- Write model documentation for internal and external approval processes.
Required Skills & Qualifications:
- Experience in designing and building statistical models in a credit risk/financial environment.
- Substantial practical experience with SAS in financial reporting/modelling, including SAS macros and statistical procedures.
- Familiarity with IFRS 9 within a large financial organisation.
- Understanding of regulatory standards such as IRB and IFRS 9.
- Proficiency in credit risk model building, including estimation and validation techniques for IFRS 9 compliance.
- High mathematical literacy and analytical skills to analyse data and identify trends.
- Excellent problem-solving abilities.
- Ability to work independently and as part of a team.
- Strong Microsoft Office skills, particularly Excel.
- Strong organisational skills and adaptability.
- Excellent interpersonal and communication skills.
- Experience in macroeconomic time-series modelling is desirable.