Job Purpose 

The Credit Risk Modelling and Measurement team is responsible for the development, oversight and embedding of credit risk measurement models and regulatory reporting for the bank.

The Quantitative Analyst plays an important role within the Modelling and Measurement team to, develop the credit risk models to predict risk estimates such as PD, EAD, and LGD, and operational models to support credit risk decisions., as well as the completion of the Regulatory reports.

Areas the models will be used include:

• Acquisitions Management (Application Scorecard)
• Account Management (Behavioural Scorecard)
• IFRS 9 Impairment models for the calculation of Impairments
• Basel models for Regulatory Capital Calculation

Areas of responsibility may include but not limited to 

Build, document, implement, monitor and rebuild:

• Credit Risk Models (retail loan origination models, account management, regulatory and impairments)
• Expected Credit Loss Calculation.  This includes all inputs of Probability of Default (PD), Loss Given Default(LGD) and Exposure at Default (EAD).
• Application and Behavioural Scorecard Monitoring
• IFRS 9 PD, EAD and LGD monitoring
• Run monthly regulatory reports (BA 200, BA 210, BA 300)

Conduct detailed analytical work with a high level of accuracy in order to deliver high level results to senior management inclusive of:

• Develop ongoing improvements to the model reporting.
• Responsible for managing issues through to resolution.
• Define and specify key data requirements to support modelling approaches.
• Document model ñtechnical manualî, modelling choices made, and model methodology considerations.

Working with the leaders of the Credit Risk Modelling team to ensure:

• Models are effectively embedded into operational activities
• The program of work for the department is documented and resourcing or delivery issues are well managed.
• Identifying inefficiencies and proposing operational process improvements to enable better outcomes.
• Add value to deliverables with excellent problem solving, idea generation and strategic thinking.  Work closely with the wider Credit Team, Finance, Product Development and System Architects to optimize the best solution for the bank and group.

Personal Attributes and Skills 

• Resourceful and tenacious
• Self-motivated
• Focused on driving results
• Detail-oriented
• Organised and process oriented; ability to multi-task and manage time effectively
• Ability to convey complex data in a concise understandable manner and distil the key messages
• Strong problem-solving skills
• Ability to work effectively across varying levels of Management and multi-disciplinary teams
• Good and clear written style.
• Strong verbal and written reporting skills.
• Quantitative/qualitative analytical skills

Education and Experience 

• MSc/ BSc (Hons) in Statistics/ Actuarial Science/ Financial Maths/ Applied Maths
• Programming capabilities in SAS / R / Python / VBA
• At least 3 years of experience in relevant field (e.g. behavioural credit scoring, credit impairments under IFRS 9, regulatory capital requirements, BA returns reporting, credit risk management processes across the credit life cycle)
• Strong track record of professional performance
• Skilled in Microsoft products, particularly PowerPoint, Word, Excel and Access