Credit Risk Model Validation

2 weeks ago

London, United Kingdom Xcelyst Limited Full time

**Job title**

Credit Risk IRB Models Validation

**Location**

London

**Experience**

5-15 years

**Job Duties**

The role will require working as part of Credit Risk model validation team:
Key responsibilities include:

- Validation of IRB Models for Mortgage portfolio, the probability of default (PD), model used in conjunction with Exposure at Default (EAD) and Loss Given default (LGD) to provide an estimate of Expected Loss (EL) and of Risk Weighted assets (RWAs)
- Review of technical documentation describing model development
- Delivery of model validation documentation
- Presenting validation findings to senior managers or approval forums.
- Replicate developments, analysing performance and constructing challenger models,

**Qualification**

Mathematics, Engineering, Economics or Quantitative Finance background. Professional qualifications (e.g. CFA, CQF, risk certification - FRM or PRM) and analytical background preferred.

**Skills Required**:

- Strong model validation experience, including writing robust validation documentation and performing conceptual soundness assessment, replication testing, performance testing and model use assessment
- Experience working on regulatory projects pertaining to credit risk; preferably IRB models is essential. Experience with Hybrid mortgage models (residential and buy to let) would be a plus.
- Experience with the following models would be advantageous: Rating models, Scorecards, Economic capital models, IFRS9 provision models, Stress testing models
- Strong experience with evaluating regulatory findings relating to Internal Rating Based (IRB) models
- Strong programming experience in SAS is essential. Python and R in addition would be a plus.
- Strong understanding of retail credit risk portfolios - in particular mortgages
- Strong understanding of PD, LGD and EAD models
- Strong experience in end-to-end model development cycle from data gathering and cleansing to the documentation, presentations to key stakeholders and implementing methodologies
- Strong experience with delivering validation documentation that will stand the test of validation, audit and regulatory scrutiny
- Experience in the review of technical documentation describing model development,
- Strong ability to replicate developments, analyse performance and construct challenger models,
- Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, CRR and PRA rules) to assess adherence to the relevant regulations
- Experience with performing regulatory attestation against PRA and ECB rules
- Experience in presenting validation findings to senior managers or approval forums.
- Experience and proficiency in areas of statistics and applied mathematics
- Strong programming experience in more than one of the following - SAS, Python, R
- Excellent communication skills, both written and oral
- Analytical, Strategic and Conceptual thinking and Problem-solving skills
- Strong academic background with a Master’s or Bachelor’s degree in Finance, Economics, Engineering, Science, Financial Engineering, Statistics or Mathematics with professional certifications like CQF, FRM, PRM

**Salary**: £60,000.00-£110,000.00 per year

Ability to commute/relocate:

- London, Greater London: reliably commute or plan to relocate before starting work (required)

Application question(s):

- How much years of experience into Investment Banking domain?

Work authorisation:

- United Kingdom (preferred)

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