Senior Manager - Credit Risk Model Development and Analytics

AD - M&V - UK

 

 

 

 

 

 

•First line of defense, including Model Development/monitoring, recalibration, model tuning, primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for IFRS9/IRB/CECL/CCAR models including PD/EAD/LGD component models.•Development process involves understanding of the relevant regulatory requirements, development document, testing and benchmarking as well as development of challenger models using SAS, R or Python and report writing.•Assist first line of defense, including Model Development/monitoring, recalibration, model tuning in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to modeling when required•Model Development including assessing conceptual soundness, critical assessment of the, designing to evaluate the model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models and compliance assessment against the relevant regulatory standards•Proactively work with seniors, AM and Managers for key deliverables in line with Project requirement•Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery•Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients develop or build credit risk measurement models.

 

 

 

 

 

                         

Roles & Responsibilities

 

•First line of defense, including Model Development/monitoring, recalibration, model tuning, primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for IFRS9/IRB/CECL/CCAR models including PD/EAD/LGD component models.•Development process involves understanding of the relevant regulatory requirements, development document, testing and benchmarking as well as development of challenger models using SAS, R or Python and report writing.•Assist first line of defense, including Model Development/monitoring, recalibration, model tuning in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to modeling when required•Model Development including assessing conceptual soundness, critical assessment of the, designing to evaluate the model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models and compliance assessment against the relevant regulatory standards•Proactively work with seniors, AM and Managers for key deliverables in line with Project requirement•Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery•Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients develop or build credit risk measurement models.

 

                         

Educational qualifications

•Advanced degree in Math, Statistics, Economics or any other Analytical disciplines•Any Graduate + MBA in finance with relevant experience/exposure.•Additional certifications: Professional Certification such as FRM, CFA preferred

Work experience

•Total Experience 13+ years (Senior Manager) working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred

 

Mandatory  technical & functional skills

•Programming skills: Python, SAS, and R•Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)•Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/PRA/EBA•Excellent written and verbal communication skills•Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values•Ability to multi-task and handle client conversations•Team player•Ability to work independently and motivate team members 

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Experience Level

Senior Level