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My client is looking for an individual to develop statistical models for a credit products portfolio team. Model outputs are utilised across a range of risk metrics, including RWA, pricing, Economic Capital, and for credit sanctioning.
Key responsibilities include development of new models and challenge of existing models; this covers modelling, documentation, implementation, work with validation team
The role will involve direct contact with various stakeholders in the business and in the risk function; the candidate should therefore be comfortable interacting with peers and senior management in other functions and influencing the direction of projects
Outstanding analytical skills and an inquisitive mind are required to anticipate business needs and propose innovative solutions
Post graduate degree in a quantitative discipline, Mathematics, Statistics, Physics, Engineering, Econometrics
Very strong knowledge of statistics, e.g. regression analysis, reject inference, decision trees, cluster & time-series analysis
Strong numerical programming ability using a range of languages (R, Matlab, Python); working experience with SQL
Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences
Experience of developing & applying statistical models
PhD in a highly numerate discipline (Mathematics, Statistics, Physics, Engineering, Econometrics)
Understanding of the quantitative techniques used in developing and validating PD, LGD, and/or EAD models
Experience in statistical modelling and model testing
For other Statistical Modelling roles and Data Science opportunities please apply.