The wholesale credit risk group develop models for capital (Basel), impairment (IAS39/37, IFRS9), and stress testing (CCAR, PRA, EBA). Model outputs are utilised across a range of risk metrics, including RWA, pricing, economic capital, and for credit sanctioning.
- Enable effective use of data from across WCR through support and development of the wholesale datamart
- Thorough and deep analysis for modelling data, and preparation and documentation of data for model development
- Validate data provided, including implementation of data validation code
- Document data processing tests and data requirements for IT
- Process data provided, e.g. ratio transformations and merging data tables
- Support implementation runs; this includes responding to questions on data transformations as well as initial questions on results before passing on to others in the team.
- Strong stakeholder management skills, with experience from complex projects
- Good project and people management skills; ability to motivate team and deliver within tight deadlines
- Strong quantitative and analytical skills; degree(s) in a quantitative discipline such as computer science, math, engineering
- Strong technical skills: SQL (Teradata, SQL Server) (essential) R or Python (preferred)
- Significant experience with data management / architecture / storage / reporting within a financial institution
- Experience analysing data and model calculation outputs
- Good documentation and communication skills
- Domain expertise in wholesale PD, LGD, EAD (preferred)