Credit Risk Model Manager (SAS)

Credit Risk Model Manager (SAS)

Job Title: Credit Risk Model Manager (SAS)
Contract Type: Permanent
Location: City of London, London
Salary: £70000 - £75000 per annum + bonus, pension, benefits
Start Date: ASAP
Reference: 170017_1642412812
Contact Name: Brad Newton
Contact Email:
Job Published: January 17, 2022 09:46

Job Description

Credit Risk Model Manager (SAS)

A Credit Risk Model Manager (SAS) is required for a well-established Financial Services client based in London.

Credit Risk Model Manager (SAS) responsibilities:

  • Ongoing production of IFRS 9 expected losses including providing insight and recommendations on key outputs from regular monitoring / management information reports.
  • Assist with managing the relationship with auditors and supporting any audit of models and the associated model lifecycle, specifically supporting in the model performance monitoring.
  • Implementation of newly developed second generation IFRS 9 models
  • Enhance IFRS 9 model monitoring and management information packs.
  • Identifying and implementing model changes and enhancements as needed, ensuring they are in line with Bank standards, Model Risk Management (validation) findings and regulatory compliance requirements.

Credit Risk Model Manager (SAS) experience required:

  • Strong understanding of IFRS 9 model requirements with development experience as an added benefit
  • Significant experience of using SAS (macros, arrays, scoring / simulation engines) knowledge of other programming languages an asset (SQL, R, Python, etc.)
  • Implementing new models into Live within a strict change-control environment
  • An understanding of Credit Risk and techniques used to develop Credit Risk Models, including: Data extraction and pre-processing, Model development (OLS linear and logistic regression, non-linear modelling, timeseries modelling, etc.), User Acceptance Testing, Model Performance assessment (monitoring)

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