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Credit Risk Modeller ( IRB )
CrisilLondon, England, United Kingdom7 days ago
Job type
- Full-time
Job descriptionProven expertise in modeling across wholesale / LDP credit portfolios Advanced proficiency in : SAS, Python, R, SQL Strong knowledge of capital models (IRB approach) Exceptional analytical and problem-solving skills Excellent written and verbal communication abilities Advanced degree in Statistics, Mathematics, Economics, or related field Professional certifications in risk management or financial modeling Experience with machine learning and advanced statistical modeling techniques Knowledge of Basel regulatory requirements Programming : SAS, Python, R, SQL Regulatory Knowledge : IRB (Must)
We are seeking an experienced Lead Model Developer with exceptional expertise in credit risk modeling, especially the wholesale portfolio (banks, corporate, specialized lending, real estate, non-banking). The ideal candidate will bring deep domain knowledge and advanced technical skills to drive sophisticated credit risk modeling initiatives across wholesale portfolios.
Location : London
Employment Type : Full-time
Key Responsibilities :
- Lead end-to-end development of advanced credit risk models, including PD, EAD, LGD models compliant to IRB Standards from inception to IRB accreditation
- Significant contribution to the IRB accreditation process
- Conduct comprehensive data preparation, preprocessing using tools including SAS, Python, R, and SQL
- Design, build, calibrate and implement robust credit risk models across wholesale portfolios with rigorous User Acceptance Testing (UAT)
- Collaborate with cross-functional stakeholders to analyze, interpret, and communicate complex model results and insights
- Model documentation , Business Requirements Documents (BRD) , Regulatory compliance documentation
- Drive continuous model improvement through :
- Identifying optimization opportunities; Implementing advanced modeling techniques; Enhancing model performance and predictive accuracy
- Provide mentorship and technical guidance to junior team members, fostering a culture of knowledge sharing and professional development
Required Qualifications :
Preferred Qualifications :
Technical Skills :
Seniority level
Seniority level
Mid-Senior level
Employment type
Employment type
Full-time
Job function
Job function
Other
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Credit Risk Modeller • London, England, United Kingdom
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