Credit Risk Modeller / IFRS9 Modeller - VBA, SAS, MatLab, C++
For this reputable consulting firm we are looking for a Credit Risk Modeller / IFRS9 Modeller. This is an excellent opportunity for someone who wants to be involved in managing diverse issues including fraud, regulatory compliance, risk frameworks and modelling, capital efficiency, corporate governance, dispute resolution, deriving value from contracts and much more.
- Advising clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build credit risk measurement models.
- The individual will also be expected to technical analysis for workstreams within both IFRS9 and credit risk modelling engagements.
- The individual will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions.
Qualifications & Skills:
Experience in credit risk modelling techniques.
Knowledge and practical experience in accounting and risk requirements as related to IFRS9.
Detailed working knowledge and experience of all aspects of model development and validation including the following:
- Data extraction and pre-processing
- Modular model development
- User acceptance testing
- Model performance assessments
Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.
Flexibility and agility to contribute in a senior capacity to a broad range of banking risk engagements.
Excellent oral / written communication, planning, project management, networking and influencing skills
Flexibility to work across the UK (and internationally) where required
Experience and Background:
- Ability to understand and execute programming code including VBA, SAS, MatLab, C++ etc
- Relevant Sectoral experience - Developing Retail/ Wholesale banking PD/EAD/LGD models