Lead Modeller

1 month ago

London, United Kingdom Gresham Hunt Full time

Job title: Lead Modeller - Wholesale Credit Risk

Location: London, hybrid

Salary range: £100K - £135K + bonus


My client, an established Bank, have an exciting opportunity within their quantitative risk team. This role sits within Model Development and is focused on the modelling of IRB models. As a Senior Lead in Wholesale Credit Risk modelling, you will be accountable for delivering one or more quantitative credit risk model developments for wholesale customers.


Responsibilities:

  • Design and document high-quality IRB models, including Probability of Default, Exposure at Default, and Loss Given Default, as well as challenger models utilizing various modelling techniques.
  • Ensure models are in line with regulatory requirements
  • Collaborate with stakeholders across various areas and disciplines, including business, global risk, data analytics, model risk management (such as model validation), as well as internal and external audit, either directly or through appropriate forums.


Requirements:

  • BSc/MSc in a numerical discipline
  • Significant wholesale modelling experience (PD, EAD and LGD) with an understanding of how models are implemented and used.
  • Excellent understanding of credit risk modelling (AIRB and/or IFRS9)
  • Understanding of Regulation Requirements, primarily UK (PRA) and EU (EBA/ECB) based regulations.
  • Prior experience working with statistics or data
  • Technical skills in Python/R/SAS
  • Strong communication skills


Please submit your CV or contact me on evie.mitchell@greshamhunt.com for information on all my current roles.

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