Senior Modelling Analyst- Credit Risk

1 week ago

Solihull, United Kingdom MERJE Ltd Full time

Our Client is currently looking to recruit a Senior Modelling Analyst to contribute to the work of Credit Risk Management by taking responsibility for the development, analysis, validation, implementation and monitoring of Credit Risk Scorecards and PD models.

**Role responsibilities**:

- The development of the PD models as required under the IRB and/or IFRS9 frameworks
- Ensuring adherence to the model governance framework
- Calculating and monitoring the PD model outputs to ensure stability of the framework, identifying adverse changes to be actioned
- Producing in-depth documentation of the models and the production framework to the required standard to obtain the relevant sign-off
- Implementing the models into the live environment in a manner that is consistent with the development objectives, ensuring 100% accuracy and timeliness of the calculation of the outputs
- Creating and producing the required regular validation of the models
- Ensuring the regular monitoring of the stability, integrity and effectiveness of the models, highlighting adverse changes and proposing remedial action plans
- Timely production of the full suite of monitoring reports required as part of the model governance framework
- Ensuring data integrity, documentation, validation, stability and controls are in place for all data elements used within the modelling and live production of the model outputs
- Supporting in the development and execution of the stress testing framework
- Providing support and development to junior analysts

**About you**
- Good knowledge and understanding of general statistical modelling (Logistic and Linear Regression, Scorecard development, Reject Inference) and related stats (Gini, information value, K statistic, R squared, population stability etc.)
- Proven experience in statistical modelling and analytics across the account life cycle
- Good working knowledge of CRA and behavioural data
- Degree level education (min 2:1) in mathematics, statistics or equivalent
- Excellent verbal and written communication skills
- Ability to work independently and, at the same time, support the wider project team as needed

**Preferable to have**:

- Modelling experience using SPSS or SAS
- Experience of IRB PD models and rating systems
- Experience in a mortgage environment (Buy-to-Let and Residential)

**What’s in it for you**:

- Hybrid working
- Competitive salary and additional benefits

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