Senior - M&V - UK

Job Description

#KGS

Roles & Responsibilities

• Model validation / audit / review primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for IFRS9 / IRB models including PD / EAD / LGD component models.
• Validation process involves understanding of the relevant regulatory requirements, development document, testing and benchmarking as well as development of challenger models using SAS, R or Python and report writing.
• Assist with other model validation / audit / review activities in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to validation when required
• Model validation including assessing conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models and compliance assessment against the relevant regulatory standards
• Proactively work with seniors, AM and Managers for key deliverables in line with Project requirement
• Responsible for key deliverables and engage with Partners / Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery
• Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build credit risk measurement models.

Responsibilities

Job Description

#KGS

Roles & responsibilities

Qualifications

#KGS

Required Skills

Educational Qualifications

Work Qualifications

Skills Required

quantitative modeling, Sas, Linear Regression, Chaid, Regulatory Requirements, Arima, Python, Logistic Regression