Credit Risk Model Validation IFRS 9

England, West Yorkshire, Leeds
£48000 - £52000 per annum + Additional benefits
02 Sep 2020
30 Sep 2020
Amuay Lee
Contract Type
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

*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.

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