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Credit Risk Analyst

Employer
Deekay Technical Recruitment
Location
London, United Kingdom
Salary
Competitive Salary
Closing date
Feb 13, 2024

View more

Job Role
Credit Control
Sector
Finance
Contract Type
Permanent
Hours
Full Time
- Critically review firms' mortgage credit risk models against the IRB requirements and make recommendations to senior PRA committees.
Contract Roles
12 Months
IRB Reviewer
Hybrid working, 2 days per week in London

Ideally SC, would consider putting you through the clearance check

This is a technical role. You will have responsibility to:
• Critically review firms’ mortgage credit risk models against the IRB requirements and make recommendations to senior PRA committees.
• Scope and lead on-site visits to regulated firms coupled with desk-based reviews of documentation, develop conclusions and write reports and present results to senior PRA partner

Role Requirements - Minimum Criteria
• Significant experience of mortgage credit model development and/or validation, gained within one or more firms with a significant mortgage lending business, a consultancy or a regulator.
• Excellent knowledge of the main techniques used to develop mortgage IRB models, including of relevant IRB requirements (e.g. CRR, Supervisory Statements) and guidance, and of the supporting governance and validation processes that need to be in place to support the models.
  • Credit Risk Models - Mortgage (Retail) or Wholesale (Corporate) Experience
  • Background in Econometrics, Mathematics or Statistics ideally
  • Stakeholder/Client Management & Engagement skills
  • IRB Background is essential
  • Ensure experience is in Credit Risk NOT Market Risk
  • Probability of Default (PD)
  • Loss Given Default (LGD)
  • Exposure at Default (EAD)

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