Keywords:- model validation, IRB / IFRS9, SAS, market/industry insights covering credit risk and model validation.
- To be the analyst in the validation of allocated models working with the team to ensure their adherence to internal Group Standards and regulatory requirements.
- Data management and analysis of information from various sources.
- Undertake statistical analysis and critical review of same. This includes discrimination, calibration, population stability & sensitivity measures; interpret and report on the results of this analysis.
- As part of the validation activities, ensure active and positive communication exists with the team and with relevant stakeholders involved in the model validation process.
- Produce validation reports for all model validations to a standard appropriate for reporting to internal and external stakeholders.
- Explore new approaches to model validation assessment and experiment with new techniques that could enhance the validation process.
Essential Skills & Experience:
- Experience in a quantitative discipline and ability to work with large and varied datasets.
- Previous IRB modelling experience, preferably in a model validation capacity
- Strong excel skills and knowledge of statistical analysis packages, e.g. SAS
- Excellent team player with enthusiasm and energy, able to deliver under tight deadlines.
- Good written and verbal communication skills
- Commercial awareness - to recognise and analyse issues/consider alternative approaches to achieve appropriate outcomes.