Description
Job details
Proposed designation
Senior
Role type
Individual Contributor
Work with our clients primarily in the US/UK market to assist them in credit risk engagements pertaining to model
development/validation.
Geo to be supported
UK
Work timings
9:00AM to 5.30PM
Responsibilities
Roles and Responsibilities
Model development/validation/audit/review primarily for one or more credit loss forecasting models in either retail or wholesale
domain primarily for IRB models as well as for IFRS9/CECL/CCAR/DFAST reporting including PD/EAD/LGD component
models. Validation process involves understanding of the relevant regulatory requirements, development document, testing
and benchmarking using SAS, R or Python and report writing.
A strong understanding of UK and EBA regulatory environment and regulations related to IRB models. Knowledge of other
relevant standards such as IFRS9 is a plus
Assist with other model development/validation activities for Underwriting scorecard, Credit Scoring, behavioral models,
economic scenario models or automation activities related to validation when required
Model validation including assessing conceptual soundness, critical assessment of the testing performed by the model
developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the
model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models
and compliance assessment against the relevant regulatory standards
Independent model testing and formulation of supporting analysis required to address validation findings and regulatory
feedback.
Qualifications
This role is for you if you have the below
Educational qualifications
Advanced degree in Math, Statistics, Economics or any other Analytical disciplines
Any Graduate + MBA in finance with relevant experience/exposure.
Additional certifications: Skilled Certification such as FRM, CFA preferred
Work experien