Job description
Lead Modeler (model monitoring for IRB, IRFS9 and Scorecards)
Start: ASAP
Duration: 4 months
Location: average 2 days per month in Swindon
Pay: Inside IR35, paying up to £575 per day
We are looking for a Lead Modeler to join our client for the review and transformation of risk model monitoring for IRB, IRFS9 and credit & financial crime scorecards.
Responsibilities:
- Lead a review of all existing risk model monitoring organization, processes, methodologies and standards.
- Develop a plan for transformation of the existing risk model monitoring approach
- Lead the execution of the transformation plan ensuring low risk change of processes and maintaining existing service standards.
- Assess existing model monitoring processes for IRB and IFRS9 models ensuring compliance with CRR, CRD IV, PRA Supervisory Statements, and EBA RTS as needed. Additionally, assess approach to model monitoring credit risk and financial crime scorecards against relevant regulatory expectations.
- Provide independent review and challenge of existing approaches and methodologies, ensuring alignment with regulatory expectations.
- Understand and address challenges with model monitoring of low-default portfolios, incorporating; have insights on advanced techniques to address data sparsity and uncertainty.
- Demonstrate a thorough understanding of credit risk concepts, including data flows, definition of default, and margin of conservatism principles.
- Collaborate effectively with senior stakeholders, including credit officers and senior management in risk and business areas, to communicate technical insights and influence decision-making.
- Stay updated on evolving regulatory guidelines and industry best practices, proactively addressing their implications for risk models.
Skills Required:
- Strong expertise in retail and commercial banking risk modeling.
- Comprehensive knowledge of relevant regulatory frameworks (CRR, CRD IV, PRA Supervisory Statements, EBA RTS).
- Detailed understanding of standards and expectations in UK PRA SS1/23
Start: ASAP
Duration: 4 months
Location: average 2 days per month in Swindon
Pay: Inside IR35, paying up to £575 per day
We are looking for a Lead Modeler to join our client for the review and transformation of risk model monitoring for IRB, IRFS9 and credit & financial crime scorecards.
Responsibilities:
- Lead a review of all existing risk model monitoring organization, processes, methodologies and standards.
- Develop a plan for transformation of the existing risk model monitoring approach
- Lead the execution of the transformation plan ensuring low risk change of processes and maintaining existing service standards.
- Assess existing model monitoring processes for IRB and IFRS9 models ensuring compliance with CRR, CRD IV, PRA Supervisory Statements, and EBA RTS as needed. Additionally, assess approach to model monitoring credit risk and financial crime scorecards against relevant regulatory expectations.
- Provide independent review and challenge of existing approaches and methodologies, ensuring alignment with regulatory expectations.
- Understand and address challenges with model monitoring of low-default portfolios, incorporating; have insights on advanced techniques to address data sparsity and uncertainty.
- Demonstrate a thorough understanding of credit risk concepts, including data flows, definition of default, and margin of conservatism principles.
- Collaborate effectively with senior stakeholders, including credit officers and senior management in risk and business areas, to communicate technical insights and influence decision-making.
- Stay updated on evolving regulatory guidelines and industry best practices, proactively addressing their implications for risk models.
Skills Required:
- Strong expertise in retail and commercial banking risk modeling.
- Comprehensive knowledge of relevant regulatory frameworks (CRR, CRD IV, PRA Supervisory Statements, EBA RTS).
- Detailed understanding of standards and expectations in UK PRA SS1/23
