Credit Risk Modelling Specialist

1 month ago


West Yorkshire, United Kingdom MERJE Full time
Job Opportunity

Credit Risk IRB Modelling Analyst - Yorkshire (Hybrid/Once a month) - £55K - £65K

MERJE is seeking a skilled Credit Risk IRB Modelling Analyst to join our team in Yorkshire. As a key member of our team, you will be responsible for the development, management, and testing of financial models used across the business, ensuring they are fit for purpose and aligned with regulatory expectations.

Key Responsibilities:

  • Ownership and delivery management for elements of the model suite employed across the business, including:
  • IRB Framework
  • IFRS9 Model Framework
  • Balance Sheet Management Models
  • Product Pricing Models
  • Market and Liquidity Risk Management models
  • Plus other models to be agreed to be migrated to the team at a later date.
  • Accountable for ensuring that full documentation is in place to support the models and their development.
  • Accountable for ensuring that the model universe is maintained with respect to those models falling under the accountability for the role.
  • Stakeholder management to ensure that appropriate knowledge and understanding of the models and their use is in place.
  • Accountability for the governance of the models that fall within the role's responsibility, ensuring that models meet the governance requirements of the business as defined in the Model Governance Policy.
  • Delivery of the development plan for the models that fall into the remit of the role, ensuring that all stakeholders are engaged and that the development is aligned across all areas of the function.
  • Ongoing external scanning to ensure that the model methodologies and approaches employed across the business are aligned with industry best practice.
  • Accountability for ensuring that any regulatory developments with respect to the requirements for the models covered by the team are fully understood and factored into the development schedule to ensure continued 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.

Please send your CV to MERJE for consideration.



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