Credit Risk Modeller
Posted 6 days ago by Caraffi
Negotiable
Outside
Hybrid
Birmingham, England, United Kingdom
Summary: The role of Credit Risk Modeller involves developing and delivering model monitoring solutions for IFRS9 models related to mortgage portfolios within a large financial services business in Birmingham. The contractor will work closely with the Credit Risk Modelling & Analytics team to ensure effective monitoring and reporting of model performance. This position requires a strong background in IFRS9 and programming skills in SAS and SQL. The contract is for three months with a hybrid working arrangement of two days in the office per week.
Key Responsibilities:
- Familiarise with available data and models used in IFRS9 with support from the Credit Risk Modelling & Analytics team.
- Agree appropriate metrics, measures, and tolerances with input from the Senior Credit Risk Modeller.
- Design, develop, and implement model monitoring solutions for the Owner Occupied residential portfolio and the Buy to Let portfolio.
- Consider actions based on the results of the model monitoring work.
- Build out segmentation processes for timely recalibrations.
- Liaise with the external model validation team for smooth handover of model monitoring code.
- Present a summary of work and findings to stakeholders within the Credit Risk Modelling & Analytics team prior to contract completion.
Key Skills:
- Experience in IFRS9 and survival models.
- Excellent SAS and SQL programming skills.
- Attention to detail for high accuracy in analysis.
- Ability to spot trends and outliers in data.
- Good communication skills for presenting results to both technical and non-technical audiences.
Salary (Rate): undetermined
City: Birmingham
Country: United Kingdom
Working Arrangements: hybrid
IR35 Status: outside IR35
Seniority Level: undetermined
Industry: Finance
Outside IR35 - 3 Month Contract - Birmingham - Two days in the office per week
Our client, a large financial services business in Birmingham, is looking to recruit an experienced contractor to develop and deliver a series of model monitoring solutions for a suite of IFRS9 models related to residential and buy to let mortgage portfolios.
You will:
- Familiarise yourself with available data and models used in IFRS9 with support from the Credit Risk Modelling & Analytics team
- Agree appropriate metrics, measures and tolerances with input from the Senior Credit Risk Modeller
- Design, develop and implement model monitoring solutions necessary to measure and monitor the model performance for the Owner Occupied residential portfolio and the Buy to Let portfolio
- Consider what actions could be taken based upon the results of the model monitoring work
- Build out the segmentation processes to facilitate timely recalibrations
- Liaise with external model validation team to ensure smooth handover of model monitoring code
- Present a summary of the work and findings to stakeholders within the Credit Risk Modelling & Analytics team prior to completion of the contract
Key Skills and Experience:
- Experience in IFRS9 and survival models
- Excellent SAS and SQL programming skills
- Attention to detail enabling production of analysis with a consistently high level of accuracy
- Ability to spot trends and outliers in data
- Good communicator with the ability to present results to a technical and non-technical audience in a clear and concise manner