Senior Credit Risk Modelling Analyst

Company

RCI FS Ltd UK

Job Description

• Support the end-to-end development and implementation of credit risk models (PD, LGD, EAD)
• Support the back testing for IFRS9 (PD, LGD, EAD, SICR) and statistical forward-looking Models.
• Support Parameter Estimates for IFRS9 to ensure that the models are running as expected.
• Monitor the performance of the models and implement controls that help to prevent data quality issues affecting the models.
• Participate to the constant improvement of the models, propose new potential segment to target, comply with the evolution of the regulation and create or improve the documentation where necessary.
• Experience with External Audit is essential.
• Stay updated on industry trends, regulatory changes, and best practices in credit risk modelling to ensure the company’s policies remain current and effective.
• Prepare high-quality, detailed model documentation, implementation reports, and performance monitoring presentations for a range of audiences, including senior management, internal audit, and regulatory bodies.
• Assess the compliance of the models implemented with both EBA (European Banking Authority) and PRA (Prudential Regulation Authority).

KNOWLEDGE AND SKILLS

• Strong academic background with a degree in a quantitative discipline such as Statistics, Mathematics, Economics, Physics, or Engineering. Detailed understanding of the underlying statistical theory is essential.
• Significant experience in proactively problem solving and analysing of large, complex data sets, identify trends, and make data-driven decisions.
• Advanced and demonstrable programming skills in SAS are mandatory for this role.
• Proficiency in at least one other statistical programming language, such as Python or R.
• Ability to work under pressure and with short deadlines.
• Advanced knowledge with machine learning techniques (e.g., Gradient Boosting, Random Forests, deep Neural Networks) and their application in a credit risk context is desirable.
• Strong communication skills, with the ability to articulate complex technical concepts to non-specialist audiences, both orally and in written form.

Job Family

Sales Financing

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