Overview
The Retail Credit Risk Modeller will support a major UK banking client's regulatory-driven credit risk modelling programme, focusing on the remediation of an existing default engine and the development of consolidated IRB models. This role involves collaborating with various stakeholders in the Retail Model Development function to meet regulatory requirements and enhance modelling capabilities. The engagement is an initial six-month contract with a start date in January 2027 and strong potential for extension.
Responsibilities
- Support the remediation and enhancement of an existing retail credit risk default engine.
- Undertake IRB model development and contribute to IFRS9 modelling efforts.
- Analyse and interpret existing SAS-based models, code, and data processes.
- Develop new modelling and analytical capabilities using Python.
- Perform detailed data analysis, model development, testing, and documentation.
- Collaborate with Credit Risk, Model Validation, Data, and Technology teams.
- Ensure modelling outputs meet required regulatory and governance standards.
Requirements
- Strong background in Retail Credit Risk and Credit Analytics within banking.
- Hands-on experience with IRB and IFRS9 model development.
- Excellent analytical and data skills with experience in large and complex datasets.
- Proficient in SAS, with the ability to understand and work with SAS models and code.
- Strong Python skills for modelling and analytical tasks.
- Understanding of credit risk model governance and the relationship between Model Development and Model Validation.
- Ability to deliver under tight regulatory timelines.