Our client, a leading and well known name in the banking industry, are looking for a team of model developers as part of their push towards achieving A-IRB ranging from very junior to team lead level.

You need to have a demonstrable background in corporate scorecard and/or portfolio model development and implementation.

You will be responsible for reviewing the existing model set for Credit Risk Economic Capital methodology and identifying shortcomings for rapid improvement together with longer term requirements and road map to achievement. You will also need to identify the dataset required for robust model development.

Furthermore, you will maintain the data set for reporting purposes and support the development of improved model set and capacity to maintain and enhance PD, EAD and LGD/Severity models. In addittion, you will agree, implement and undertake validation of models, establish improvement programme and model set ensuring ongoing links with other teams within the group.  

You need to be able to demonstrate robust knowledge and experience of credit risk analysis, preferably gained in a corporate risk environment. An understanding of the FSA and other approaches to bank regulation particularly relating to Credit Risk and an understanding of quantitative and statistical modelling is essential. You also need to demonstrate strong knowledge of corporate and retail credit risk concepts, risk measurement techniques and Credit policies and their application to the business.   

You must also have advanced VBA programming skills.