This role offers an exciting opportunity to lead the development of credit risk models for wholesale customers. You will be responsible for developing and maintaining statistical models such as probability of default, loss given default and exposure at default (PD, LGD and EAD). These models cover both regulatory capital models under the Advanced Internal Ratings Based (AIRB) approach and models used in the IFRS9 provisioning process.
What you'll do:
As a Vice President - Quantitative Analyst, your role will be pivotal in leading model development and analytics projects. You will be entrusted with the responsibility of developing high-quality credit risk models including PD, EAD, and LGD. Your expertise will be crucial in assessing these models against internal standards and regulatory requirements. You will also play a key role in the Regional GRA WCRA team, contributing to the design of top-tier modelling approaches and metrics. Your ability to engage effectively with stakeholders across various disciplines will be essential for success in this role.
- Lead and support colleagues responsible for checking model data quality, model development (methodology and design), checking model performance, and reporting issues to management and steering committees.
- Develop and document high quality credit risk models including PD, EAD and LGD.
- Assess models against internal model development standards and regulatory requirements before submission to internal and external approvers.
- Act as a member of the Regional GRA WCRA team in charge of the UK Mid-Market Risk Rating System for the bank.
- Work with colleagues across multiple regions to design best in class modelling approaches and metrics.
- Engage with stakeholders across different areas and disciplines.
What you bring:
The ideal candidate for the Vice President - Quantitative Analyst position brings significant experience in wholesale modelling along with an excellent understanding of credit risk modelling. Your ability to lead Model Development projects will be crucial, as will your understanding of UK and EU based regulations. You should be proficient in manipulating large data sets and have an excellent understanding of credit risk related data. Your ability to explain technical tasks to a wider audience and work comfortably with stakeholders at various levels will set you apart.
- Significant experience of wholesale modelling (PD, EAD and LGD) with an understanding of how models are implemented and used.
- Excellent understanding of credit risk modelling (AIRB and/or IFRS9).
- Demonstrated ability to lead Model Development projects.
- Understanding of Regulation Requirements, primarily UK (PRA) and EU (EBA/ECB) based regulations.
- Proficiency in manipulation of large data sets.
- Excellent understanding of credit risk related data.
- Ability to explain technical tasks to a wider audience.
- Comfortable working with stakeholders of various levels.
What sets this company apart:
Our client is committed to fostering a diverse and inclusive workplace that reflects the communities they serve. They believe that being open to a range of perspectives and cultures is vital for their business. They are dedicated to ensuring everyone achieves their potential – regardless of their gender, ethnicity, disability, religion, sexual orientation or age. If you have a different way of seeing the world, they are interested in hearing from you.
What's next:
Ready to take the next step in your career? Apply today for this exciting opportunity!
Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates
