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Credit Risk Model Developer

  • Job type: Permanent
  • Location: London
  • Salary: Competitive
  • Job reference: WE3
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 07/02/2018
Credit Risk Model Developer

One of tier 1 investment banking clients are looking for a Senior Credit risk modeller to help develop all their scorecards and IFRS 9 models. You will be in charge of a small term of 3 managing the maintenance, developing and monitoring of all Credit risk models (PD, LGD, EAD). You will be working close to the Head of Credit risk modelling, producing annual reports on progress. The ideal candidate will have direct hands-on experience across the development/validation of credit risk models. They will also need exceptional leadership and communication skills. It is an exciting opportunity to see the quick progression in an expanding modelling function and a chance to build out your own team. 



Responsibilities

  • Work on credit risk model development and validation for models such as PD, LGD, EAD models
  • Work on wholesale portfolio models; exposure to receivables finance portfolio 
  • Work with Credit Risk analytics/quant modelling teams
  • Understand and improve the existing processes to gain efficiency
  • Use tools such as SAS, R, SQL, and Matlab to develop and validate quantitative models using large or small data sources
  • Deliver end solution maintaining high-quality standards and quick turnaround times
Experience 
  • 5-7 years of relevant experience
  • Engineering or post-graduate in business/ statistics/ mathematics/ economics/ other quantitative disciplines from top tier institutes.
  • Strong credit risk analytics and model development and validation skills
  • Strong exposure to wholesale portfolios
  • Good communication skills 
  • Strong verbal and written communication skills
  • Skills: SAS/SQL, MS Office (Excel, Access, PowerPoint), VBA, R, Matlab
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