Validate credit risk related regulatory (IRB, IFRS9, CCAR and Stress Testing) models for wholesale portfolios
Perform technical analysis and/or build alternative benchmarks to new and existing models
Work as an Individual Contributor and also Mentor a team of 2-3 analysts
Review regulatory requirements to ensure compliance with different regulatory guidelines e.g. SR 11-7, PRA, FRB, SS-1/23
Support the development and review conformance with appropriate policies including Group Model Risk policy

Validate credit risk related regulatory (IRB, IFRS9, CCAR and Stress Testing) models for wholesale portfolios
Perform technical analysis and/or build alternative benchmarks to new and existing models
Work as an Individual Contributor and also Mentor a team of 2-3 analysts
Review regulatory requirements to ensure compliance with different regulatory guidelines e.g. SR 11-7, PRA, FRB, SS-1/23
Support the development and review conformance with appropriate policies including Group Model Risk policy
Solid understanding of the quantitative techniques used in developing and validating models including credit risk related regulatory (IRB, IFRS9, CCAR, Stress-testing, PD, EAD, LGD) models for wholesale portfolios
Hands-on experience in the use of statistical packages such as Python, SAS, R
Expert user of Microsoft Excel and other Microsoft Office tools
An ability to identify and analyse appropriate external data sources including macro-economic variables for model development or validation along with excellent communication and stakeholder management skills.

Non-Traded Models IVU – VP

Key skills