Credit Risk Modelers
Posted Today by Vallum Associates
£550 Per day
Undetermined
Undetermined
London
Summary: The Credit Risk Modeler role involves developing and delivering Internal Rating Based (IRB) credit risk models for various banking portfolios. The position requires collaboration with regulatory frameworks and model validation processes, utilizing Python for model development. The successful candidate will contribute to compliance with capital requirements and ensure high-quality documentation. This role is integral to the quantitative model development team within the bank.
Key Responsibilities:
- Contribute to the bank’s IRB permission application and ongoing compliance under the Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRD) IV framework.
- Support model development consistent with regulatory expectations from the Bank of England and Prudential Regulation Authority.
- Work within the quantitative model development team to build and maintain PD, LGD, and EAD models using Python.
- Support the model development lifecycle, including documentation, engagement with independent model validation, and internal model risk governance processes.
Key Skills:
- Sound understanding of the IRB regulatory framework (CRR, CRD IV, EBA guidance, and PRA SS11/13).
- Ability to translate regulatory interpretations into data treatments and modelling methodologies.
- Hands-on experience developing IRB Credit Risk Models (PD, LGD, and EAD) for various banking portfolios.
- Strong analytical skills with loan-level credit datasets and portfolio risk drivers.
- Advanced Python programming for data analysis and model development, with knowledge of SAS, R, and advanced Excel.
- Ability to produce high-quality model documentation for governance and regulatory reviews.
Salary (Rate): £550/day
City: London
Country: United Kingdom
Working Arrangements: undetermined
IR35 Status: undetermined
Seniority Level: undetermined
Industry: Finance
Job Title- Credit Risk Modelers
Role Description - 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.
Key responsibilities:
- 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.