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Credit Risk IRB Model Dev - Manager

Borough, South East London, United Kingdom
Competitive Salary
Closing date
Feb 13, 2024

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Job Role
Risk Manager
Contract Type
Full Time
Manager - Credit Risk IRB Models (4-6 years experience)
  • Experience in model development and documentation working on regulatory project pertaining to credit risk
  • Strong experience with addressing regulatory findings relating to Internal Rating Based (IRB) models
  • Strong understanding of retail credit risk portfolios - in particular mortgages
  • Strong understanding of PD, LGD and EAD models
  • Strong academic background with a Master's or Bachelor's degree in Finance, Economics, Engineering, Science, Financial Engineering, Statistics or Mathematics with professional certifications like CQF, FRM, PRM
  • Strong experience in end-to-end model development cycle from data gathering and cleansing to the documentation, presentations to key stakeholders and implementing methodologies
  • Strong experience with delivering methodology documentation that will stand the test of validation, audit and regulatory scrutiny
  • Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, CRR and PRA rules)
  • Experience and proficiency in areas of statistics, applied mathematics; good understanding of wholesale and retail banking / small business / consumer finance products and business life-cycles
  • Strong programming experience in more than one of the following - SAS, Python, R
  • Excellent communication skills, both written and oral
  • Analytical, Strategic and Conceptual thinking and Problem-solving skills

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