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 auditors
Developing, monitoring and maintaining scorecard and regulatory parameter models required for IFRS 9
Developing, monitoring and maintaining any other Risk model requirements relating to provisions, stress testing, securitisations etc
Developing and maintaining all required model documentation
Supporting the business in the provision of expert statistical and technical advice
Developing model monitoring
Develop champion challenger programs to constantly look for ways to improve the efficiency of the existing models
Being proactive in looking for improvements in data and model methodology to improve model performance
Understanding and anticipating the impact on model performance due to changes in business activity, market and/or economic performance
Working with the local model owner in specifying data requirements
Writing model documentation as part of the internal and external approval process

Previous experience of designing and building statistical models in a credit risk / financial environment using a variety of techniques including linear and logistic regression
Substantial practical experience of using SAS in financial reporting/modelling environment and competent in SAS macros and SAS statistical procedures
Experience of working with IFRS 9 within a large financial organisation
Ability 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 9
High level of mathematical literacy and analytical capability to analyse and assess data, identifying trends and articulating findings in conclusions and potential recommendations to senior management
Experience of macroeconomic time-series modelling is also desirable Excellent problem-solving skills Ability 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 salary
30 days holiday per annum, plus bank holidays
Annual bonus based on personal and company performance
Car allowance
Private medical cover
Generous pension contributions
Employee assistant programme
Enhanced family friendly policies
Sharesave scheme
Discounts on high street brands
Local retail discounts