Credit Risk Model Manager- Portfolio Analytics
Job Description: Lead portfolio analytics team in performing deep dive analysis, develop & document methodologies and processes on ICAAP stress testing, IFRS9 modelling, portfolio loss and provision forecast, concentration & correlation analysis, and RWA optimization. Support bank-wide programs on capital assessment, allocation and efficiency improvement
The Client- A well- known Bank.
This Client does not provide sponsorship.
- Lead the ICAAP, stress test, budgeting CoR and Pricing CoR analytics and modelling.
- Undertake adhoc portfolio analysis assignments as required to support regulatory requirements
- Perform analysis in supporting due diligence
- Support in-house model building as required
- Work with the data warehouse team to implement impairment models and validate that they have been implemented as per development including any policy rules and strategies
- Convert existing SQL/ Excel based models to SAS for ease of execution and governance
- Identify and populate the most relevant modelling data from internal and external sources
- Identify any subpopulations within the bank that need to be treated differently e.g. Homes with multiple occupancy
- Strong Base SAS skills, Knowledge of Macros and Enterprise Guide would be an advantage as would ODS experience
- Very strong Microsoft skills in Excel, Word and Power point. VBA experience would help
- Ability to convert numbers to meaningful data
- SQL experience (Medium to High)
- Strong analytical background
To discuss the role in greater detail please contact Nuhaa Mohamed on 0161 883 2762 or send through your CV to firstname.lastname@example.org