Jobs

Lead IRB Modeller


Job details
  • Barclay Simpson
  • London
  • 1 month ago
Applications closed

Lead IRB Modeller

London £70k - £85k Job type: Permanent Sector: Banking, Financial Services Job reference: SN/39862

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Barclay Simpson are pleased to be representing a specialist mortgage bank in their search for a Lead IRB Credit Risk Modeller. As part of the insights and analytics function, the successful applicant will be part of team who will be delivering a suite of models to submit to the PRA as the bank seeks IRB approval. As Lead IRB Credit Risk Modeller you will primarily focus on developing and implementing various types of predictive models, segmentation strategies, optimisation algorithms & data mining analysis. You’ll also aid the development, maintenance and monitoring of new IRB rating systems, regulatory PD, LGD, EAD & scorecard models.

The firm offer fully remote and flexible working and employee’s can be based anywhere in the UK.

Key Skills & Responsibilities:

Assessment of IRB regulation within the CRR, SS11/13, EBA GL’s, PRA Rulebook & Basel 3.1 for residential mortgages or business loans Developing and implementing various types of predictive models, segmentation strategies, optimisation algorithms and data mining analysis Monitor and maintaining models to ensure that they remain fit for purpose Develop and implementing various types of predictive models, segmentation strategies, optimisation algorithms and data mining analysis to drive pricing and liquidity management Ensure predictive models support regulatory and compliance initiatives within risk such application scorecards, capital and impairment (according to IRB and IFRS9 standards) and stress testing

You will need:

Experience with IRB regulation (CRR, SS11/13, EBA GL’s, PRA Rulebook & Basel 3.1) Experience in using the following modelling techniques – collaborative filtering, support vector machines, neural networks, linear and logistic regression, decision trees, random forests Experience of data analysis tools, such as SQL, R, Python, SAS or similar Good communication skills – able to present analysis at all levels of the business and to non-specialists A self-starter with excellence time management skills CQF qualification advantageous Experience of delivering predictive models to support application or behavioural credit risk scoring, IRB, IFRS9, scorecards, pricing and price elasticity, or product propensity models

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We seek individuals from a diverse talent pool and encourage applicants from underrepresented groups to apply to our vacancies. Our commitment to fair recruitment processes means that we welcome applicants from all backgrounds, regardless of their lived experience or personal characteristics. We also invite applicants who meet most of the listed requirements, even if not all, to apply. If you require any adjustments to the application process, please let us know.

Barclay Simpson acts as an Employment Agency for permanent positions and an Employment Business for temporary/contract engagements.

Scott Nye – Quant Risk

Executive Consultant

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Other jobs I manage

Manager - IRB Quantitative Modelling Senior Manager - IRB Quantitative Modelling Senior Consultant - Traded Risk Model Validation Senior Manager - Traded Risk Model Validation

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