Senior Lead Credit Risk Modelling Expert

5 days ago


London, Greater London, United Kingdom Eximius Finance Full time

Job Summary:

We are seeking an experienced Senior Lead Credit Risk Modelling professional to join our team at Eximius Finance. As a key member of our modelling team, you will be responsible for leading and supporting model development projects, ensuring that our credit risk models are accurate, reliable, and compliant with regulatory requirements.

Key Responsibilities:

  • Lead and Support Model Development Projects: You will lead and support model development projects, ensuring that models are developed and implemented in accordance with regulatory requirements and industry best practices.
  • Develop and Maintain Credit Risk Models: You will develop and maintain credit risk models, including probability of default, exposure at default, and loss given default models.
  • Ensure Regulatory Compliance: You will ensure that our credit risk models are compliant with regulatory requirements, primarily UK (PRA) and EU (EBA/ECB) based regulations.
  • Collaborate with Cross-Functional Teams: You will collaborate with cross-functional teams, including data analysts, risk managers, and business stakeholders, to ensure that our credit risk models are aligned with business objectives.

Requirements:

  • Significant Experience: You should have significant experience in wholesale modelling, including probability of default, exposure at default, and loss given default models.
  • Excellent Understanding: You should have an excellent understanding of credit risk modelling, including AIRB and/or IFRS9.
  • Leadership Skills: You should have demonstrated leadership skills, including the ability to lead and support model development projects.
  • Regulatory Knowledge: You should have a strong understanding of regulatory requirements, primarily UK (PRA) and EU (EBA/ECB) based regulations.
  • Technical Skills: You should have proficiency in manipulation of large data sets and excellent understanding of credit risk related data.

Desirable Skills:

  • Programming Skills: Knowledge of Python, SAS, and/or SQL and their applications would be beneficial.
  • Model Implementation: Knowledge of (Python) model implementation in a bank's operating environment, including the link to policies, procedures, and regulations.
  • Communication Skills: Proficiency in English both written and verbal.


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