- This role requires supporting a global stress testing modelling team whose primary focus is to drive Global Stress Testing program to support Retail Credit business & Risk teams.
- Hands-on experience is required of all stages in model development cycle and proven ability to identify data and functional requirements to develop, calibrate and critically review models.
- Strong knowledge of the documentation aspect of model development is key as are the skills to present this information to peer review and independent review of model governance committees.
- Experience in developing Basel/Capital model on risk factors PD, LGD, EAD would be required with core focus on Retail business ( Mortgages, Credit Cards and loans/advances ) exposure on stress testing model development would be desirable.
- This position will be individual contributor role with future extension of team building. The material produced by this team will form the basis of submission to senior management and to regulators.
Other responsibilities will include:
- Collate, test and check independently sourced economics data (forecast and stress) and assess its robustness and fitness for purpose of model development
- Coordinate and identify historical data points for developing models
- Coordinate and compile stress test model results and develop analysis to communicate with wider group, including Group, Regional and site Risk Strategy
- Ensure adequate documentation and analysis in place for model review committee which involves peer review and independent review committees
- Prepare effective material for dissemination to key business stakeholders at all levels of seniority.
- Support ad-hoc requests in support of the business as necessary
- Ensure timelines around project deliverables are met and all the stake holders are informed about the status of the projects
Skills/Experience Required :
- Bachelor's degree in numerate subject, e.g. mathematics/ statistics/ economics or equivalent experience; Master's degree preferred.
- Knowledge of Retail Banking Products (Mortgage, Credit Cards, loans and advances )
- Knowledge of credit risk or Basel/capital model development - MANDATORY
- Able to convert business needs into modeling needs. Experience on modeling tools and techniques and aware of recent advancements in the field
- Strong Quantitative background with knowledge of economic and econometric models
- Familiarity with bank stress testing including loss and risk estimation techniques