11 Oct
Barclay Simpson
London
About the Company: Our client is a well-known banking group with a franchise that spans retail banking, corporate and wholesale banking and investment banking. The corporate banking arm provides specialist financing to a wide range of sectors, principally project financing, commercial real estate financing, mezzanine finance and principal finance. The firm holds AIRB status for many its business lines, however, is now seeking AIRB permission for several other asset classes.
It is also in the process of delivering the IRB repair requirements as per ECB.About the Role: As part of the strategic growth plan of its risk modelling function,
the firm now seeks an credit risk modeller with prior experience of IRB modelling to take on an important role within the team being set up to deliver AIRB for the firms’ specialist lending portfolios. This is a new role, reporting to the Manager for IRB Modelling. The role will involve:Responsibilities: Development of models to support business decision making, risk management and estimation of regulatory capital requirements in line with internal development standards and policies.
This includes Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models. Performing exploratory and ad-hoc data analysis to generating meaningful customer or portfolio insights.
Contributing to the standards, methodologies and toolsets required to perform analytic activities. Extracting, transforming, and cleaning the data required for modelling and analysis purposes. Engaging with customer facing Business teams to understand how our analytic outputs can support their decision making.
Qualifications: Applicants should possess prior experience of IRB models (as a developer or validator),
with a degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics and a high level of competence in SAS or SQL programming – an equivalent level in an alternate programming language would be consider (e.g. R, Python, Matlab). Advanced experience in extracting, transforming, and cleaning data for modelling purposes.
▶️ Senior Analyst/AVP - IRB Modelling
🖊️ Barclay Simpson
📍 London