Lead Irb Modeller

7 months ago

London, United Kingdom Barclay Simpson Full time

**Lead IRB Modeller**:

- London
- £70k - £85k
- Job type: Permanent
- Sector: Financial Services, Banking
- Job reference: SN/39862

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

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

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