Credit Risk Modeller – Retail Portfolios
Our client, a leading Retail Bank with a presence in Luxembourg, is seeking an experienced Retail Credit Risk Modeller for a 6 month project. Must have a minimum of 8+ years’ relevant experience. The contract will involve:-
- Responsible for the build and maintenance of the bank’s credit risk models, including IRB , provisioning and stress models.
- Develop credit risk models meeting agreed business and regulatory requirements including associated data analysis and documentation.
- Monitor performance of the implemented model inventory
- Present & discuss the outcomes of model build and monitoring with stakeholders
- Work collaboratively with other model teams across the Bank to achieve best practice
- Proactively encourage a culture of best model practice throughout the institution
The successful Credit Risk Modeller will possess the following:-
- At least 8 years in credit risk modelling of retail portfolios in banking environment
- Experience with scorecards, IFRS9 provisions, stress tests, PD, LGD and EAD models
- Minimum of Masters Degree degree from a top university
- Excellent knowledge of SAS as well as SQL and Python
- Knowledge of Retail and SME banking products
- Analytical and independent thinker with strong written and verbal communication skills
Excellent daily rates paid.
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