Senior Analyst, Model Developer

Posted 12 April by MERJE Ltd Easy Apply

My client is a successful UK Retail Bank looking to grow out it’s quantitative team. You will develop and validate IFRS 9 models in SAS. Conduct deep dive credit analysis as required, develop in-house scorecards throughout the credit lifecycle from application to collection/recovery, develop or calibrate IFRS 9 models (PD/LGD/EAD) to satisfy Basel requirement. Develop interim solutions for PD/LGD estimates where data remained limited.

The Client-

A large British bank, specialising in the savings and lending markets.

The role-

  • Support team leader in developing, enhancing and supporting credit grading system across the bank including scorecards and IFRS 9 models
  • Contribute to enhancing and documenting scorecard and Basel model methodologies and processes
  • Contribute to developing credit score cut-off analysis framework, documentation standard
  • Assist business units and functions to embed risk based pricing and capital efficiency in business decision making
  • Use data mining, data modeling and segmentation to build credit scorecards
  • Use SAS to develop or calibrate Basel IFRS 9 models
  • Ensure that analysis and modeling meet project specifications and internal modeling standards
  • Use SAS to construct and clean datasets.
  • Use SAS to perform statistical analysis, modeling, profiling, and reporting.
  • Use SAS to build predictive models - linear regression, logistic regressions, etc.
  • Validate existing credit risk models.
  • Construct and produce required MIS reports across business units and products for model performance tracking
  • Perform ad-hoc credit analysis as required
  • Perform other advanced analytic modelling as requested

Key Requirements-

  • Strong SAS programming skills including Base SAS and Macros
  • Strong data handling and processing skills
  • Good working knowledge and proficiency in statistical analysis, credit scorecard / Basel IRB modeling
  • Good working knowledge in Excel, Word and Power point.
  • VBA and excel application development experience would be desirable.

Reference: 30990613

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