Lead Credit Risk Modeller

1 month ago


United Kingdom Barclay Simpson Full time

Barclay Simpson are pleased to be representing a specialist mortgage bank in their search for a Lead IRB Credit Risk Modeller. As part of the insights and analytics function, the successful applicant will be part of team who will be delivering a suite of models to submit to the PRA as the bank seeks IRB approval. As Lead IRB Credit Risk Modeller you will primarily focus on developing and implementing various types of predictive models, segmentation strategies, optimisation algorithms & data mining analysis. You’ll also aid the development, maintenance and monitoring of new IRB rating systems, regulatory PD, LGD, EAD & scorecard models. The firm offer fully remote and flexible working and employee's can be based anywhere in the UK. Key Skills & Responsibilities:
Assessment of IRB regulation within the CRR, SS11/13, EBA GL’s, PRA Rulebook & Basel 3.1 for residential mortgages or business loans
Developing and implementing various types of predictive models, segmentation strategies, optimisation algorithms and data mining analysis
Monitor and maintaining models to ensure that they remain fit for purpose
Develop and implementing various types of predictive models, segmentation strategies, optimisation algorithms and data mining analysis to drive pricing and liquidity management
Ensure predictive models support regulatory and compliance initiatives within risk such application scorecards, capital and impairment (according to IRB and IFRS9 standards) and stress testing
You will need:
Experience with IRB regulation (CRR, SS11/13, EBA GL’s, PRA Rulebook & Basel 3.1)
Experience in using the following modelling techniques – collaborative filtering, support vector machines, neural networks, linear and logistic regression, decision trees, random forests
Experience of data analysis tools, such as SQL, R, Python, SAS or similar
Good communication skills - able to present analysis at all levels of the business and to non-specialists
A self-starter with excellence time management skills
CQF qualification advantageous
Experience of delivering predictive models to support application or behavioural credit risk scoring, IRB, IFRS9, scorecards, pricing and price elasticity, or product propensity models
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