Job description
A leading European Bank is currently seeking to build a number of first class impairment models to meet the requirements of IFRS9. These models will then be analysed with regards to there financial impact on the impairment figures. Specifically they require a modeller, with a wealth of Retail Banking experience to be responsible for the following:
- Build prototype expected loss based impairment models
- Design and execute model testing, including the sensitivity of assumptions and volatility
- Produce model methodology and technical implementation documentation
- Support the successful steering of the prototype models through the internal governance processes
- Analyse the financial impacts of the changes in impairment methodology
As such candidates will have strong experience in the development of risk models within Retail Banking.
Ideally you will have experience in the development of Retail Expected Loss models including Basel models and impairment models. Candidates must have knowledge of Risk Management within Retail Banking and ideally have exposure to Basel II and IFRS9. Statistical package experience including SAS would be beneficial.
Please apply for immediate consideration.
Goodman Masson is acting as an Employment Business in relation to this vacancy.
Goodman Masson is an equal opportunities employer.