Quantitative Modeller

Quantitative Modeller, Motor Finance

Location: Surrey/Hybrid

The Role:

Reporting to the Head of Methodology you will be responsible for the development, monitoring and maintenance of the various quantitative Credit Risk models across the Retail and Wholesale portfolios. Primarily responsible for the various IFRS 9 models, the role will also include admission, behavioural and IRB modelling.
Building statistical models in SAS requiring an understanding of the regulatory knowledge relevant to IFRS 9 and experience of interfacing with external auditorsDeveloping, monitoring and maintaining scorecard and regulatory parameter models required for IFRS 9Developing, monitoring and maintaining any other Risk model requirements relating to provisions, stress testing, securitisations etcDeveloping and maintaining all required model documentationSupporting the business in the provision of expert statistical and technical adviceDeveloping model monitoringDevelop champion challenger programs to constantly look for ways to improve the efficiency of the existing modelsBeing proactive in looking for improvements in data and model methodology to improve model performanceUnderstanding and anticipating the impact on model performance due to changes in business activity, market and/or economic performanceWorking with the local model owner in specifying data requirementsWriting model documentation as part of the internal and external approval process
The Candidate:
Previous experience of designing and building statistical models in a credit risk / financial environment using a variety of techniques including linear and logistic regressionSubstantial practical experience of using SAS in financial reporting/modelling environment and competent in SAS macros and SAS statistical proceduresExperience of working with IFRS 9 within a large financial organisationAbility to understand and interpret regulatory standards (e.g. IRB, IFRS 9)Strong experience building credit risk models, including estimation and validation techniques relevant to compliance with IFRS 9High level of mathematical literacy and analytical capability to analyse and assess data, identifying trends and articulating findings in conclusions and potential recommendations to senior managementExperience of macroeconomic time-series modelling is also desirableExcellent problem-solving skillsAbility to work independently using initiative, as well as part of a team `Strong Microsoft Office skills; particularly Excel Strong organisational skills and flexibility to adapt to a changing environment Excellent interpersonal, oral and written communication skills and attention to detail
Remuneration:
Competitive salary30 days holiday per annum, plus bank holidaysAnnual bonus based on personal and company performanceCar allowancePrivate medical coverGenerous pension contributionsEmployee assistant programmeEnhanced family friendly policiesSharesave schemeDiscounts on high street brandsLocal retail discounts

Remuneration:
Competitive salary30 days holiday per annum, plus bank holidaysAnnual bonus based on personal and company performanceCar allowancePrivate medical coverGenerous pension contributionsEmployee assistant programmeEnhanced family friendly policiesSharesave schemeDiscounts on high street brandsLocal retail discounts

---