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Manager - Wholesale Credit Risk Analytics - Sheffield

Salary Competitive
Type Permanent
Location Sheffield
Sectors UK & Regional
Credit & Risk Management
Job Reference UK01/SJH/25535
Contact Sam Havis
Date posted 01-03-2017

A global investment bank is looking for a Wholesale Credit Risk Analyst to join their team as a Manager in Sheffield. The successful candidate will review and enhance the model development process for Wholesale Analytics.

Responsibilities will include:

• Oversee the enhancement and consistency of global model development frameworks for the development of group-wide Wholesale PD, EAD and LGD models.
• Provide support, reviews, challenges and oversight for PD, LGD and EAD developments.
• Ensure Regulatory and Capital requirements are consistently and appropriately assessed and appropriately calculated.
• Support model development frameworks to ensure continual improvement in credit risk methodologies and process alignment across regions
• Perform technical analysis to challenge model proposals and reviews of new and existing Wholesale credit risk models.
• Support regional site business and risk functions, as and when needed, for the consistent and efficient estimation of PDs, LGDs and EADs.

Skills required:

• Quantitative/numerical post graduate degree essential, masters minimum, PhD preferred.
• Experience managing statistics and regression analysis
• Econometrics concepts must be understood to a Masters degree level
• Able to demonstrate experience building Wholesale or Retail PD, LGD and EAD models
• Experience of all three stages in the model development process: Data preparation stage, Modelling Stage, Pre-Implementation Validation Stage.
• Previous involvement with the writing of model documentations
• Good working knowledge of Wholesale credit products
• SAS programming skills

For more information please contact:

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Associate Consultant