Credit Risk Modelling Expert

2 months ago


West Yorkshire, United Kingdom MERJE Full time
Job Overview

**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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