A fast paced, forward-thinking consultancy. Delivering expertise in risk, data and applied AI, across the regulated lenders sector.
The role with entail:
SERVICE LINES
Credit risk modelling; IFRS 9 and impairment; IRB and capital; scorecards and decisioning; model validation, monitoring and model risk
REGULATION
IFRS 9; Basel 3.1 and CRR; the PRA IRB rulebook; EBA Guidelines on PD and LGD estimation; SS1/23 model risk management principles; Consumer Duty where it touches affordability
MODELS AND METHODS
PD, LGD, EAD and ECL; application and behavioural scorecards; logistic regression, GLMs, survival analysis, time series; gradient boosting and other machine learning; calibration, segmentation, back-testing, benchmarking and monitoring
PORTFOLIOS
Retail mortgages, unsecured lending, credit cards, motor finance, SME and specialist lending
TOOLS
Python (primary); SQL; Git; Excel to a high standard; exposure to AWS, Azure or GCP is a plus; SAS or R is useful where you have it
ADJACENT
Stress testing and ICAAP; credit strategy and affordability; COREP, FINREP and Pillar 3; data quality and lineage
WIDER FIRM
Data engineering, pipelines and data governance; machine learning development and deployment; applied AI strategy, tooling and safety
You will need:
- relevant experience in credit risk, analytics, data science or quantitative research.
- Hands-on exposure to at least one of IFRS 9, IRB, scorecard development or model validation, with the range to pick up the others.
- A strong degree in a quantitative discipline: mathematics, statistics, econometrics, physics, engineering, computer science or finance. An MSc is a plus but not required.
- Strong Python, with code you can talk us through. SQL to a working standard.
- Clear written English. A large part of the job is explaining a model to not technical stakeholders
- Evidence you can run a piece of work with light supervision and land it on time.
- Genuine interest in lending and its regulation - IRB, IFRS 9 and what the PRA expects.
- Adaptability. Our work changes shape between clients, and so does the modelling.
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Senior Credit Risk Modelling consultant employer: MERJE
As a leading wealth manager, we pride ourselves on fostering a dynamic and inclusive work culture that prioritises employee growth and development. Our Compliance Analysts play a crucial role in shaping our compliance monitoring framework, with access to cutting-edge tools and resources, while enjoying a supportive environment that encourages innovation and collaboration. Located in a vibrant financial hub, we offer competitive benefits and opportunities for professional advancement, making us an exceptional employer for those seeking meaningful and rewarding careers in the financial services sector.
