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Credit Risk IRB Model Dev - Manager

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

View more

Job Role
Risk Manager
Sector
Finance
Contract Type
Permanent
Hours
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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