AVP- Quantitative Credit Risk Modeller

Robert Walters is working exclusively with a leading international bank to appoint a Quantitative Credit Risk Modeller. This is a permanent role offering the opportunity to shape core credit risk models used across the bank’s portfolios.

Robert Walters is working exclusively with a leading international bank to appoint a Quantitative Credit Risk Modeller. This is a permanent role offering strong visibility with senior stakeholders and the opportunity to shape core credit risk models used across the bank’s portfolios.

The role

Working as part of a small, high‑calibre quantitative team, you will be responsible for the development, enhancement and maintenance of regulatory and internal credit risk models, including IRB and IFRS 9. You will work closely with Credit Risk, Finance, Regulatory Reporting and Model Validation teams to ensure models are robust, explainable and aligned with regulatory expectations.

Key responsibilities include:

• Designing, developing and documenting PD, LGD and EAD models for retail and/or wholesale portfolios

• Supporting IFRS 9 expected credit loss modelling, including segmentations, staging and calibration

• Contributing to stress testing and capital modelling exercises

• Undertaking data analysis, feature engineering and model performance monitoring in Python (and/or SAS/R)

• Preparing clear technical documentation and presenting model methodologies and outcomes to senior stakeholders and internal validators

The candidate

The successful candidate will have:

• Experience in a credit risk modelling or quantitative risk role within a bank, consultancy or financial services firm

• Hands‑on experience with IRB and/or IFRS 9 models (PD, LGD, EAD and/or ECL)

• Strong programming skills in Python (SAS or R also beneficial)

• Solid understanding of regulatory frameworks such as Basel and PRA expectations around model risk

If you meet the above set criteria, please apply or send a copy of your CV to hadjra.sohawon@robertwalters.com

Robert Walters Operations Limited is an employment business and employment agency and welcomes applications from all candidates