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Senior Commercial Credit Risk Modelling SME - Director

Job Seekers United Kingdom Risk Management

Job Summary

  • Bromley
  • Permanent
  • BBBH793304
  • Sep 15, 2021
  • Competitive
Job Description

Global investment bank is seeking a Director level Senior Quant Analyst to be an SME in commercial credit risk modelling space who will be responsible for validating stress testing, allowance, and cap

A fantastic opportunity has become available for a Sr Quantitative Financial Analyst to join the Model Risk Management team in the Bromley office. Working as part of the wider Global Risk function, this position has a significant interaction with associates and stakeholders in the India, the UK and the US. The Wholesale Risk Loss Forecasting, Scorecards Models and Global Banking Models MRM team is an established team within MRM and has 16 associates place across the US, the UK and India. The team has regular interaction with GRA.

We are looking for a subject matter expert in commercial credit risk modelling space who will be responsible for validating stress testing, allowance, and capital models. The candidate must have a proven background in commercial credit risk assessment with extensive experience in either developing or validating models used for credit ratings, commercial loss forecasting or capital calculations.

Overview of the Role

  • Become an SME in the commercial credit risk modelling space
  • Responsible for validating stress testing, allowance, and capital models
  • This position is for a senior validator who will be expected to independently conduct validations involving evaluation of underlying assumptions, choice of risk drivers, statistical and mathematical methods, empirical evidence, data quality, and software implementation
  • The validator is expected to write independent code to conduct validation testing including development of independent benchmarking and alternative assumption analysis
  • This is a high visibility position and the senior validator will interact with model developers, model users, and model owners routinely
  • Proven quantitative/analytic skills with the ability to influence strategic direction, as well as develop tactical plans

Core Skills:

  • PhD in finance, economics, mathematics, or statistics (or other related quantitative discipline)
  • Extensive of relevant work experience
  • Expertise in developing or validating commercial credit risk models at large financial institutions
  • In-depth understanding of statistical inference and related techniques
  • Deep knowledge in a statistical or analytical modelling language such as SAS, Matlab or R
  • Experience working with large and complex data sets using Excel or SQL
  • Confident written and verbal communication skills
  • Deep understanding and knowledge of model performance measures

Desired skills:

  • Commercial Credit Risk loss forecasting or Capital calculations
  • Ability to work independently
  • Extensive knowledge of banking regulations on credit risk, model risk and credit risk modelling methodologies
  • Excellent academic qualifications with publications in respected journals

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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Consultant Details

Consultant Details

Alex Riedl
Alex Riedl
  • Principal Consultant
  • + 44 20 7092 0103
  • ariedl@morganmckinley.com