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