Posted By
Posted in
Banking & Finance
Job Code
960282
Responsibilities :
Acting as a technical specialist on the external audit of credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures that include but are not limited to :
1) Technical model development documentation review
2) Technical model validation documentation review
3) Assessment of model performance
4) Independent replication of any of the above
Acting as a technical specialist on the external audit of audit entities end to end credit risk process and conducting procedures that include but are not limited to :
1) Credit risk governance reviews
2) Credit risk policy and procedure reviews
3) Individual credit file reviews
4) Substantive testing of any of the above
- 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.
- The individual will also be expected to complete technical analysis for workstreams within both IFRS9 and credit risk modelling engagements.
- The individual will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions.
Knowledge & Experience :
- Experience working in a credit risk modelling role within a financial or professional services firm.
- Practical experience in credit risk modelling techniques
- Knowledge and practical experience in accounting and risk requirements as related to IFRS9, CECL and regulatory credit risk models
- Detailed working knowledge and experience of all aspects of model development and validation including the following :
1) Data extraction and pre-processing
2) Modular model development
3) User acceptance testing
4) Model performance assessments
Relevant Sectoral experience : Developing Retail/ Wholesale banking PD/EAD/LGD models
Knowledge and experience of credit risk processes, governance and documentation
Skills :
- Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.
- Ability to understand and execute programming code including SAS, R, Python
- Flexibility and agility to contribute in a senior capacity to a broad range of banking risk engagements.
- Excellent oral / written communication, planning, project management, networking and influencing skills.
- Flexibility to work across the UK (and internationally) where required
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Posted By
Posted in
Banking & Finance
Job Code
960282
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