Quantitative Analytics Manager
2 months ago
One of the UKs Leading Motor Finance companies and we are currently looking for a Quantitative Analytics Manager to primarily be responsible for scorecards and models of the society roll out process.
This role operates on a hybrid model and at least 2-3 days a week are required in the office in Redhill, Surrey. Remote workers will not be considered.
The Role:
- Development for the following IRB (Internal rating based) models in accordance with internal policies and standard:
- Rating, PD, LGD and EAD models
- Stress testing models
- Production of model documentation and reports in accordance with internal standards; this includes:
- Writing thorough model development documents technical and business using MS word
- Generating reports relating to the models using SAS/R and excel
- Manage the ongoing model maintenance (calibration) and monitoring once IRB is in BAU
- Proactively designing and improving models for business use; this includes understanding the nature and change of business, proactively managing discussion with business and other stakeholders
- Challenge and improvise efficiency of the models and their performance; keeping the models up to date with regulations and as well as business requirement
- Analyse and work on the impact on model performance due to changes in business activity, market and/or economic performance
- Providing input to the ongoing regulatory self-assessment for IRB; Coordinating responses from various stakeholders on regulatory requirements on IRB topics and assessing their compliance status
- Supporting the provision of data on model testing and monitoring; this includes
- Regular monitoring of the models using SAS/R and excel
- Testing the input and output of the models and its performance using SAS/R and excel
- Support remediation activities of IRB gaps reviewing and understanding of the gaps in relation to the regulatory requirements and delivering prudent measures to remediate those
- Ad hoc model testing and recalibration of the models based on monitoring results and remediation requirements
- Represent SCUK on the appropriate internal and Group committees and forums
- Independently present the monitoring results and associated appropriate measures to the various stakeholders
- Adhering to our commitment to Consumer Duty ensuring we put our Customers needs first and set higher and clearer standards of consumer protection
The Candidate:
- Extensive knowledge and experience in model development, validation in IRB or IFRS9 environment
- Hands on experience from one or more statistical data programmes such as SAS, Python, R
- Good understanding of the IRB regulation (CRR, PRA, EBA) and interpret these for modelling purposes
- Substantial experience and knowledge of credit risk and products
- Understanding and previous relevant experience in using a variety of statistical techniques
- Familiar with technical and regulatory terms and translate these to the stakeholders in non-technical way
- Strong ability to articulate findings in conclusions and potential recommendations to stakeholders in non-technical terms
- Strong Microsoft Office skills; particularly Excel
- Have a strong analytical background and numerical skills
The Benefits:
- Competitive salary dependent on experience
- 30 days holiday per annum, plus bank holidays
- Annual bonus based on personal and company performance
- Car allowance
- Private medical cover
- Generous pension contributions
- Employee assistance programme
- Sharesave scheme
- Gym passes at a reduced rate for 3,000 gyms, leisure centres etc
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