Portfolio Credit Risk Modelling AVP

This role is part of the Portfolio Credit Analytics sub-team of Risk Analytics. The team is responsible for the development and maintenance of economic capital models, portfolio credit risk models, scenario based stress testing models, product specific stress testing models, and rating models.

The candidate will participate in the development and maintenance of economic capital models, stress expected loss models, and other stress testing models.

The candidate will work with other colleagues in the team, in the wider Risk Analytics Group, and in the Risk area, in particular credit risk managers and model validation.

KEY RESPONSIBILITIES

The candidate will be accountable for:

 Developing, maintaining and improving economic capital models and other models the team is

responsible for such as ECL stress testing.

 Designing and running model validation tests, for both model assumptions and implementation.

 Investigating issues and proposing changes where there are model weaknesses.

 Specifying and testing system changes to implement improvements.

 Ad-hoc projects as required, including collaboration with business, Credit Risk Management and Model Validation.

 Investigating issues relating to the Credit Risk Models.

 Proactively contributing to wider Risk function initiatives and projects.

Required Skills

 Previous experience with statistical models in finance Desirable

 Previous experience in Economic Capital models, including PD, LGD and EAD modelling

 Previous experience in Portfolio Credit Risk modelling

Work Experience:

 2 to 5 years experience in a Financial Services firm

 Strong knowledge in statistics

 Knowledge of advanced programming languages (Python)

Desirable

 Portfolio Credit Risk modelling

 Knowledge of basic theory of default modelling

Education / Qualifications:

 Highly numerate education (Maths, Statistics, Engineering, Computer Science) at MSc level or

above

 Excellent communication skills with the ability to adjust to different audiences

 Highly motivated and innovative, able to work on own initiative

 Excellent accuracy and attention to detail with an analytical mind-set

 Good team player with professional attitude

 Good time management and ability to prioritise

 Ability to manage large workloads and tight deadlines, balancing urgent tasks and longer term projects

 Strong decision making skills, the ability to demonstrate sound judgement

 Strong problem solving skills

 Strong numerical skills