Credit Risk Model Validation IFRS 9

Location
England, West Yorkshire, Leeds
Salary
£48000 - £52000 per annum + Additional benefits
Posted
02 Sep 2020
Closes
30 Sep 2020
Ref
020920AL
Contact
Amuay Lee
Function
Consultancy
Contract Type
Permanent
Hours
Full Time
Interaction with stakeholders within the banking audit teams as well as model development / validation teams at entities the business audits. The successful candidate will also be responsible for providing guidance and having oversight of analysts work.

Description of the role:
*Technical review of model development documentation
*Technical review of model validation documentation
*Assessment of model performance
*Independent replication of any of the above
*Credit governance reviews
*Credit risk policy and procedure reviews
*Individual credit file reviews and substantive testing

Essential
*Credit risk modelling techniques
*Knowledge of credit risk processes, governance and documentation
*Experience of Retail/Wholesale PD/LGD/EAD models
*Experience in all aspects of model development/validation including data extraction, data transformation, modular model development, user acceptance testing, model performance testing
*Understanding of key regulatory/ accounting requirements (eg IFRS 9, Basel, CECL)
*Ability to understand and execute programming code including SAS, R, Python
*Ability to communicate risk/finance requirements of IFRS 9 to the reciprocal function, i.e. risk to finance and finance to risk.

Badenoch + Clark acts as an employment agency for permanent recruitment and an employment business for the supply of temporary workers. Badenoch + Clark UK is an Equal Opportunities Employer.

By applying for this role your details will be submitted to Badenoch + Clark. Our Candidate Privacy Information Statement explains how we will use your information - please copy and paste the following link in to your browser: https://www.badenochandclark.com/en-gb/candidate-privacy

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