Credit Risk Modeller

JR United Kingdom; Birmingham; On-site; GBP 60,000 - 80,000; Full time

Job summary

A large financial services business in Birmingham is seeking an experienced contractor to develop and deliver model monitoring solutions for IFRS9 models connected to mortgage portfolios. The role requires strong SAS and SQL skills, focusing on accuracy and trend analysis, with key responsibilities including design, implementation, and stakeholder communication.

Qualifications

• Experience in IFRS9 and survival models.
• Excellent programming skills in SAS and SQL.
• Ability to communicate effectively with different audiences.

Responsibilities

• Develop and deliver model monitoring solutions for IFRS9 models.
• Design metrics and measures for model performance.
• Liaise with external validation teams.

Skills

SAS

SQL

Attention to detail

Data analysis

Communication

Job description

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Outside IR35 - 3 Month Contract - Birmingham - Two days in the office per week

Our client, a large financial services business in Birmingham, is looking to recruit an experienced contractor to develop and deliver a series of model monitoring solutions for a suite of IFRS9 models related to residential and buy to let mortgage portfolios.

You will:

• Familiarise yourself with available data and models used in IFRS9 with support from the Credit Risk Modelling & Analytics team
• Agree appropriate metrics, measures and tolerances with input from the Senior Credit Risk Modeller
• Design, develop and implement model monitoring solutions necessary to measure and monitor the model performance for the Owner Occupied residential portfolio and the Buy to Let portfolio
• Consider what actions could be taken based upon the results of the model monitoring work
• Build out the segmentation processes to facilitate timely recalibrations
• Liaise with external model validation team to ensure smooth handover of model monitoring code
• Present a summary of the work and findings to stakeholders within the Credit Risk Modelling & Analytics team prior to completion of the contract

Key Skills and Experience:

• Experience in IFRS9 and survival models
• Excellent SAS and SQL programming skills
• Attention to detail enabling production of analysis with a consistently high level of accuracy
• Ability to spot trends and outliers in data
• Good communicator with the ability to present results to a technical and non-technical audience in a clear and concise manner