Job Description

The role will reside within Firm Risk Management's Risk Analytics Department, specifically the Credit Risk Methodology Group. This team is responsible for development of credit risk models for estimation of ratings, and probability of default, primarily for use in Internal Ratings Based (IRB) capital calculations but also other downstream processes.

What will you be doing?
Enhance and/or redevelop existing Rating models, and PD Calibration models, while ensuring compliance with different regulatory requirements (UK, EU, etc) as well as internal global model development standards. Collaborate in a global team environment to execute projects such as: model enhancements and recalibrations, benchmarking, testing and performance monitoring of rating models. Support line-by-line self-assessment processes against relevant regulations such as CRR, EGIM, etc for rating models. Review and challenge the data and assessments provided by Credit, seek second line approval by demonstrating model conceptual soundness and strong model performance, as well as ensure compliance with relevant global and regulatory standards for rating models.