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Credit Risk Modeller - Immediate Need

  • Job type: Permanent
  • Location: London
  • Salary: Competitive
  • Job reference: JHED1411
  • Sector: Banking and Finance, Selby Jennings, Risk Management
  • Date posted: 14/11/2017
Senior Analyst - Credit Portfolio Analytics for leading Investment bank in London


Job Description

The Senior Analyst has responsibility for developing, delivering, validating, signing-off and supporting advanced, Basel-compliant credit models, including, Probability of Default (PD) and Ratings, Loss Given Default (LGD), Exposure to Default (EAD) and Risk-Adjusted Return on Equity (RAROE).  These models are developed using strong conceptual credit risk foundations and wherever possible, they utilise advanced statistical techniques applied to detailed credit data sourced both internally and externally.

Overall these models and their related responsibilities have an essential role in the bank’s management and optimisation of capital and the management of portfolio risk/reward. The senior analyst will look to provide businesses with transaction advice and support, acting as an expert resource in the fields of risk quantification and modelling, and working closely with other stakeholders such as RBS Group Risk and GM Regulatory Advisory, Portfolio Management.


Responsibilities
  • Advanced credit model developments and validations delivered on time and written in detailed model documentation papers
  • Accurate, detailed, clear and high-quality model build documentation.
  • Contribute to the team’s overall development and evolution of credit risk modelling expertise
  • Contribute to model and methodology-related presentations to credit officers and model users and as well to detailed model business requirements
  • Contribute to overall team’s deliverables and project management
  • Application of methodology to internal and external data sets for model development and validations.
  • Management as a Team Leader of a small team of 3-4 credit modelling analysts with responsibility for a small portfolio of models and methodologies.
 

Ideal profile
  • Strong skills in initiating, developing and supporting sophisticated risk models and methodologies.
  • Good understanding of banking and finance ideally in a Corporate Banking/Capital Markets environment.
  • Good working knowledge of Basel II concepts and broad understanding of BIPRU regulatory requirements.
  • Good people and project management skills with some history of successfully managing credit model development and delivery. 
  • Team player prepared to work close to deadlines. Some familiarity with point-in-time (PIT) and through-the-cycle (TTC) PD and rating approaches
  • Reasonable familiarity with key industry default and loss data from rating Agencies and other vendors. Advanced Masters degree at a minimum in economics, finance, statistics or other related fields.
  • 1-3 years experience in developing advanced credit models. Some experience managing other quantitative analysts delivering credit models
  • PhD in a numerate, mathematical/statistical, economics or finance preferred, ideally with a thesis.
  • Good working knowledge of advanced statistical packages such as SAS, or TSP.
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