Senior Credit Risk Modelling Analyst

Job description

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 Authori...