IFRS9 Modelling

· Development of PD, LGD, EAD Models. · Responsible for developing/supporting the development of models as an end-to-end process. This includes: Scope model requirement, data review, portfolio analysis, develop model, engage key stakeholders, creating model documentation, take models through internal governance process for approval, and support the implementation of models. · Assist other team members in the development of Credit Models. · Other responsibilities also include: Creating an annual review of models, Reviewing the model performance, model calibration, back-testing models, and creating supporting analysis on models. · Research, design and implementation of best practice methodologies for quantifying credit risk in line with PRA Supervisory requirements on model development. · Proactively engage with Credit and the Business unit to support understanding of Credit Models by providing model training and model support. · Create documentation of model methodology, process and techniques used in the model development. · Practical experience with predictive modelling techniques such as logistic regression is desirable · Support model implementation within the bank's credit risk framework. · Resolve ADHOC model related issue Core skills and knowledge Technical Skills: · Degree / Masters in Statistical, mathematical, financial or economics / STEM Subjects · Good understanding of PD and LGD Models. · Minimum 5+ years of Model development experience, with hands-on experience of using Python / R language for PD / LGD model development · Strong Analytical skills: Quantitative problem solving and judgements. Ability to analyse, interpret and present complex analytical data, both verbally and in writing. Strong experience in developing practical technical solutions with limited data. · Strong interest in learning, understanding, and developing credit models and machine learning techniques · Model documentation and presentation skills: prepare high-quality analytical papers and present these papers in an effective manner appropriate to the target audience / key stakeholders. Soft Skills: · Willingness to learn and adapt to change quickly · Strong teamwork ethics · Self-motivated. Capable of working independently as well as within a team · Strong Communication Skills (Written, Verbal & Presentation skills) Any other attributes that would be helpful, but not essential for the role. · Understanding of SQL · Good understanding of Git (GitHub/GitLab) is a plus · Proficient in Excel, databases/ SQL, and Microsoft Office · Stakeholder management experience/skills is a plus;