Statistical Risk Modeller

3 weeks ago

Birmingham, Birmingham, United Kingdom MSA Data Analytics Ltd Full time
Job Title: Statistical Risk Modeller

We are seeking an experienced Statistical Risk Modeller to join our Model Risk Management (MRM) team. As a key member of the team, you will play a central role in ensuring the robustness and accuracy of the models that drive business strategy.

Key Responsibilities:
  • Conduct independent reviews throughout the model lifecycle, including development, changes, validation, and ongoing monitoring.
  • Leverage R for statistical analysis and investigations, alongside other tools like SAS, Excel, and Python.
  • Develop and validate models in key areas such as credit risk, IFRS9, stress testing, and economic capital.
  • Build challenger models, perform back-testing, stress testing, and recalibrate models when necessary.
  • Document findings from validations and present them to model governance committees.
  • Stay informed on regulatory changes and best practices in the industry.
  • Support model governance and help enhance the Group's overall risk management framework.
Requirements:
  • At least 2 years of experience in model development or validation within the financial services industry.
  • Proficiency in R for statistical analysis, along with skills in SAS, Excel, and Python.
  • Knowledge of credit risk modelling (PD, LGD, EAD estimations), IFRS9, and stress testing, or equivalent modelling within a regulated industry sector.
  • Strong analytical and problem-solving abilities, with attention to detail.
  • Excellent communication skills, capable of conveying complex concepts to senior stakeholders.
  • A degree in a numerate discipline (e.g., Mathematics, Statistics, Economics, or a related field).
What We Offer:
  • Competitive salary £50,000 - £60,000.
  • Company contributory pension.
  • PRP.
  • Life assurance.
  • 25 days holiday + public holidays.
  • Additional holiday purchase scheme.
  • Defined career development opportunities.

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