Credit Model Val Quant (PD-LGD-EAD), London (AVP)

London
Ref: CRMV-1203
To £90k + Bonus + Benefits
Leading Global Banking Group
Wholesale Banking (PD-LGD-EAD Models), Business Banking, Real-Estate, SAS Coding

This Global Wholesale Banking group seeks to recruit a Credit Risk Model Validation team in London. Covering Wholesale banking (Loans, etc.), you will review new and existing AIB models used by risk management for capital, stress testing, etc. This is an excellent opportunity to join a growing firm working on state of the art models!

KEY RESPONSIBILITIES:

  • Validate AIRB Wholesale Credit models (mainly Loans) for capital & stress testing etc.
  • Review model development processes & assumptions 
  • Assess model performance thru data evaluation and statistical testing.
  • Manage model validation from end to end, including timelines & standards.
  • Recommend improvements in the models when its presented for approval

SKILLS & EXPERIENCE:

  • Master’s degree (exceptional BSc will be considered).
  • At least graduate level qualifications in statistics, econometrics, economics field.
  • At least 3 years’ experience in modelling and/or model validation.
  • Good knowledge of Wholesale PD-LGD-EAD Models 
  • Strong SAS programming with data and statistical skills
  • Strong communication skills