Lead Modeller

4 hours ago

London, United Kingdom Gresham Hunt Full time
Job Title:
Lead Modeller

Job Summary:
We are seeking a highly skilled Lead Modeller to join our quantitative risk team in London. As a Senior Lead in Wholesale Credit Risk modelling, you will be accountable for delivering one or more quantitative credit risk model developments for wholesale customers.

Key Responsibilities:
  • Design and document high-quality IRB models, including Probability of Default, Exposure at Default, and Loss Given Default, as well as challenger models utilizing various modelling techniques.
  • Ensure models are in line with regulatory requirements.
  • Collaborate with stakeholders across various areas and disciplines, including business, global risk, data analytics, model risk management, and internal and external audit.

Requirements:
  • BSc/MSc in a numerical discipline.
  • Significant wholesale modelling experience (PD, EAD and LGD) with an understanding of how models are implemented and used.
  • Excellent understanding of credit risk modelling (AIRB and/or IFRS9).
  • Understanding of Regulation Requirements, primarily UK (PRA) and EU (EBA/ECB) based regulations.
  • Prior experience working with statistics or data.
  • Technical skills in Python/R/SAS.
  • Strong communication skills.

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