Overview
Our client, an established bank, is looking to recruit a Senior Model Development Analyst within their London office with hybrid working. The Analyst will provide analytics, model development and reporting for the Models and Ratings team.
Role Responsibilities:
- Designing, building and maintenance of bank models such as PD, LGD, EAD and IRFS 9.
- Supporting the implementation of such models across the organisation
- Undertaking analysis to ensure that the requirements for an IRB firm and IFRS 9 are being met and that the models and rating systems are in place
- Undertaking the ongoing IRB and IFRS9 model validation, improvement and maintenance
- Recommending new model development approaches and developing new models
- Supporting adherence to the regulatory requirements and compliance with the firm’s specific IRB permission and IFRS9 reporting standards
- Maintaining the company’s compliance standards and ensure timely completion of all mandatory on-line training modules
Qualifications and Experience Required:
- Degree in a relevant subject
- Knowledge of working in a financial services or risk environment
- Experience of model building, quantitative analysis and data manipulation
- Knowledge of the IFRS9 provisioning and IRB Regulatory framework, requirements and application across a business
- Advanced mathematical, modelling and quantitative analysis skills
- Advanced use and application of data modelling and data analysis software: such as SAS, R or Python
- Excellent IT skills: of Microsoft Word/Excel/PowerPoint/Visual Basic
- Up to date knowledge of FCA requirements and Regulatory Framework relevant to role
- Knowledge of how to build, test and validate ongoing IRB models and associated statistical techniques