Risk Manager- Credit Risk Modelling- SAS-London-£75,000
- Recruiter
- Churchill Frank
- Location
- Essex
- Posted
- 18 May 2018
- Closes
- 17 Jun 2018
- Job role
- Accountant
- Sector
- Accounting - Public practice
- Experience level
- Manager
JOB RESPONSIBILITIES
Strategic
* Manage projects / tasks in developing, enhancing and implementing credit grading system across the bank
* Develop standardized process and methodology for risk scorecard, IRB model development
* Coach, train and support other analytic staff and business users on leverage credit grading system and other analytic models to achieve business benefits.
* Help line manager enhance and quality assure the IFRS9 scoring engine performance and achieve the IFRS9 ToM objectives
Operational
* Lead on risk analytic projects / tasks to deliver and implement solutions according to specified time schedule
* Significantly contribute to developing in-house scorecards, IRB or other risk models throughout the credit lifecycle from application to collection/recovery, develop or calibrate Basel IRB models (PD/LGD/EAD) to satisfy capital requirement. Develop interim solutions for PD/LGD estimates where data remained limited.
* Develop, validate and update IFRS9 models
* Use data mining, data modeling and segmentation to build credit scorecards
* Use SAS to process, organize and standardize data for analytics purposes
* Calibrate and realign scorecards & IRB models
Relationships
* Keep all stakeholders regularly updated on project progress, and timely prepare documentation and presentations for clear records and communications
* Share good practice and learning with team members and business associates
Knowledge Gathering
* Project management
* Be a domain expert on scorecard, IRB models and risk analytics
* Deep knowledge in general statistical analysis, predictive modeling and possibly also AI
* Excellent in SAS and Macro programming for data processing and model development
Strategic
* Manage projects / tasks in developing, enhancing and implementing credit grading system across the bank
* Develop standardized process and methodology for risk scorecard, IRB model development
* Coach, train and support other analytic staff and business users on leverage credit grading system and other analytic models to achieve business benefits.
* Help line manager enhance and quality assure the IFRS9 scoring engine performance and achieve the IFRS9 ToM objectives
Operational
* Lead on risk analytic projects / tasks to deliver and implement solutions according to specified time schedule
* Significantly contribute to developing in-house scorecards, IRB or other risk models throughout the credit lifecycle from application to collection/recovery, develop or calibrate Basel IRB models (PD/LGD/EAD) to satisfy capital requirement. Develop interim solutions for PD/LGD estimates where data remained limited.
* Develop, validate and update IFRS9 models
* Use data mining, data modeling and segmentation to build credit scorecards
* Use SAS to process, organize and standardize data for analytics purposes
* Calibrate and realign scorecards & IRB models
Relationships
* Keep all stakeholders regularly updated on project progress, and timely prepare documentation and presentations for clear records and communications
* Share good practice and learning with team members and business associates
Knowledge Gathering
* Project management
* Be a domain expert on scorecard, IRB models and risk analytics
* Deep knowledge in general statistical analysis, predictive modeling and possibly also AI
* Excellent in SAS and Macro programming for data processing and model development