Salary
💰 £80,000 per year
Job Level
Mid-LevelSenior
Tech Stack
PythonSQL
About the role
- Work in the Risk Measurement team (2nd line) responsible for impairment models, stress testing and Credit Risk ICAAP Pillar 2A/2B models
- Support and enhance credit risk models including ICAAP P2A stress testing, impairment actuals and forecasting models
- Lead development of impairment models reporting and produce monthly impairment charge and quarterly impairment forecasts
- Build internal impairment-related MI and support ad-hoc deep-dive analyses for stakeholders
- Present impairment MI and insights at impairment working groups, technical model working groups and credit committee
- Implement modelling enhancements and take changes through technical model governance and credit committee
- Work with Data, Product and external partners (bureaux, consultancies) to ensure required data availability
- Support ICAAP stress testing P2A and P2B model enhancements and link BAU forecasts with stress testing
- Develop relationships with Product, Operations, Finance and Compliance; support Internal Audit and Independent Model Validation where appropriate
- Deputise for Risk Measurement Senior Manager on impairment-related items and share best practices across Credit Risk
Requirements
- Bachelor’s degree in maths / stats, finance, business, economics, or other quantitative related field
- Good knowledge of consumer credit risk management
- Good understanding of mortgage, personal loans and motor finance products
- Experience of building scorecards, IFRS9 modelling and Stress Testing
- Proficiency in Microsoft Office; excellent programming skills (SAS, SQL, Excel); working knowledge of R or Python
- Good time management and ability to prioritise tasks and manage workloads
- Good written and verbal communication skills, able to tailor communication for different audiences
- Analytical mindset with ability to use data to drive decision-making
- Proactive and innovative approach to problem-solving
- It would be great, but not essential: previous experience in a FinTech environment
- Deep credit risk subject matter experience (impairment, forecasting, ICAAP P2A/P2B stress testing)
- Strong understanding of credit risk principles on mortgages, personal loans, motor finance and Bridging
- Advanced working knowledge of R/Python
- Knowledge of building/developing Economic Response Models (ERMs)
- Proven experience working with Bureau data to build models and deep-dive analyses