Credit Risk Modelling


  • Build, validate, document, implement and rebuild
    • Credit risk models (retail loan origination models, business banking customer rating models, and loan behaviour scorecards)
    • Collective Provision and Expected Loss methodologies. This includes all inputs of Probability of Default, Loss Given Default and Exposure at Default (methodology).
  • Conduct detailed analytical work with a high level of accuracy in order to deliver high level results to senior management and contribute to the management and education of enhanced credit risk approaches
    • 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 “technical manual”, modelling choices made, and model methodology considerations.
  • Engage with operational risk advisory, quantitative analyst, reporting and regulatory specialist stakeholders.
  • Assist in the development of other Credit Risk Modelling team members.
  • Working with credit risk Model Development Leaders to
    • Proactively engage with stakeholders to understand business context, add value, propose solutions, project manage pieces of work through to completion.
    • Balance prioritization effectively between across a wide stakeholder group. Ensure time spent matches the importance of the work and manage situations / competing priorities so that the most beneficial program of work is achieved.
  • 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.
  • Prepare and review analysis papers and ensure that high quality analytical papers are written and delivered to appropriate senior management and committees. Present these papers in an effective manner appropriate to the audience.
  • Analyze and constructively critique output across the wider Banking Credit function for the business impacts (including regulatory and external audit) to ensure committee papers consider portfolio, modelling and data risks, and ultimately propose strategic recommendations that are underpinned by a compelling case.
  • 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 Advanced Basel Project team, Banking Credit and other senior managers and Team Leaders. Active engagement in discussions with senior management to optimize the best solution for the bank and group.
  • Ensure there is clarity and structure in the work conducted between the modelling team and operational areas. With complex work items clarity is key to minimising re-work and ensuring accuracy.
  • Supporting resourcing requests for operational model application requirements, including Bridge/funding approval where required.

Experience and Skills:

  • Over 3 years’ experience in a quantitative risk function.
  • Experience in managing own work.
  • Background in lending and credit sufficient to make the person credible when discussing credit issues.
  • Well versed in ECL models
  • Strong project management ability
  • Strong communication and interpersonal skills
  • Good and clear written style.
  • Ability to convey complex data in a concise understandable manner and distil the key messages
  • Strong verbal and written reporting skills.
  • Executive level presentation skills.
  • Highly motivated and self-starting.
  • Motivation and influencing
  • Ability to work effectively across varying levels of Management and multi-disciplinary teams

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