Credit Risk Modelers

Job description

Context

We are seeking an experienced Credit Risk Modeler to support the development and delivery of Internal Rating Based (IRB) credit risk models across Retail, SME/Business Banking and Corporate portfolios. This role will contribute to the bank’s IRB permission application and ongoing compliance under the Capital Requirements Regulation (CRR), Capital Requirements Directive (CRD) IV framework and supporting the model development consistent with the Bank of England, Prudential Regulation Authority, Supervisory Statement SS11/13 and other related regulatory expectations.

The role holder is expected to work within the quantitative model development team responsible for building and maintaining model suites including PD, LGD and EAD models using Python as the primary analytical tool. The role also supports the model development lifecycle, including high-quality documentation, engagement with independent model validation function and internal model risk governance processes.

Key Skills and Experience

• Sound understanding of the IRB regulatory framework (CRR, CRD IV, EBA guidance and PRA SS11/13).
• Ability to translate regulatory interpretations into appropriate data treatments and modelling methodologies that remain prudent and defensible under independent challenge and regulatory reviews.
• Hands-on experience developing IRB Credit Risk Models (PD, LGD and EAD) for Retail, SME/Business banking and Corporate portfolios.
• Strong ability to analyse loan-level credit datasets, identify portfolio risk drivers and support model development.
• Advanced Python programming for data analysis and model development (primary tool), with good working knowledge of SAS, R and advanced Excel.
• Ability to produce high-quality model documentation suitable for internal governance and regulatory reviews
• Strong communication skills, with ability to clearly articulate modelling methodologies, assumptions and results to independent validation teams, model risk governance and business stakeholders. </p

Qualifications

Undergraduate