Credit Risk Modelling Expert
2 months ago
**Credit Risk Modelling Analyst - MERJE**
We are seeking a highly skilled Credit Risk Modelling Analyst to join our team at MERJE. As a key member of our financial modelling team, you will be responsible for the development, management, and testing of financial models used across the business.
Key Responsibilities:
- Ownership and delivery management for elements of the model suite employed across the business, including:
- **IRB Framework**: Develop and maintain the Internal Rating-Based (IRB) framework to ensure accurate risk assessments.
- **IFRS9 Model Framework**: Design and implement the IFRS 9 model framework to meet regulatory requirements.
- **Balance Sheet Management Models**: Develop and maintain balance sheet management models to ensure accurate financial reporting.
- **Product Pricing Models**: Create and maintain product pricing models to optimize revenue and risk.
- **Market and Liquidity Risk Management models**: Develop and maintain market and liquidity risk management models to ensure accurate risk assessments.
- Other models to be agreed upon.
- Ensure full documentation is in place to support models and their development.
- Maintain the model universe with respect to those models falling under the accountability for the role.
- Manage stakeholders to ensure knowledge and understanding of models and their use.
- Ensure models meet governance requirements as defined in the Model Governance Policy.
- Deliver the development plan for models within the role's responsibility, engaging all stakeholders and ensuring alignment across all areas of the function.
- Conduct ongoing external scanning to ensure model methodologies and approaches employed across the business are aligned with industry best practice.
- Ensure regulatory developments with respect to model requirements are fully understood and factored into the development schedule to ensure ongoing regulatory compliance.
Requirements:
- Educated to at least degree level, preferably in Mathematics / Statistics or Software Development.
- Detailed knowledge of modelling requirements for product/project evaluation.
- Detailed understanding of IRB / IFRS9 / Pricing Models / Market and Liquidity Management models.
- Detailed knowledge of time value of money concepts.
- Detailed understanding of the requirements of the regulations relating to model development.
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