Senior Modelling Analyst.
Job DescriptionIn a nutshell As the Senior Modelling Analyst you'll be joining a team of statistical programmers / analysts and will report directly in to the Credit Risk Modelling Manager. Credit Risk Modelling manage the Bank's credit models for all lending products, these include application and behaviour scorecards as well as the IFRS9 provision models (PD, EAD and LGD models). What you'll be doing * Development of accurate and reliable credit risk statistical models (together with the associated documentation). Manage the timescales, co-ordinating meetings and take the lead in the project, making sure the project complies with the Model Standards, where applicable * Liaising with external suppliers when required * Provide advice and support on statistical modelling techniques within the team and to other areas of Sainsbury's Bank, undertaking ad-hoc data analysis and data mining to investigate specific areas of concern and provide information in an appropriate format for the audience * Liaise regularly with business areas to keep abreast of new business initiatives and proactively highlight any potential modelling or scoring changes to Management, helping to shape the modelling strategy * Produce regular model performance monitoring, ensuring comparisons are accurate, pertinent and relevant for all Retail Credit Risk models, both Application and Behavioural. Put forward recommendations to management * Keep abreast of research techniques, attend academic forums and where possible initiate projects to evaluate the benefits new credit risk quantification techniques may bring to risk management practices. Keep abreast of all regulatory and legislative changes What you need to know and show * Highly numerate with a degree in a mathematical/statistical/engineering discipline * At least 2 years' experience in the development of statistical/optimisation modelling solutions * Experienced and competent in the use of ...