Credit Risk Analyst

Recruiter
GCS
Location
Midlothian
Salary
Competitive
Posted
13 Oct 2016
Closes
20 Oct 2016
Sector
Accountancy
Contract Type
Permanent
Hours
Full Time

Responsibilities:

  • Build and validate a variety of statistical credit models as well as updates of validation documents.
  • Ongoing maintenance of the IT-implementation of risk models in the group's rating platform application and testing of new releases
  • Liaise with other departments to ensure consistent application of models
  • Provide PD and LGD credit risk model support and expertise to IFRS 9 project
  • Assist in calculation of economic capital and capital adequacy
  • Assist in stress testing within the economic capital framework
  • Work with various databases retrieving data and assessing data quality
  • Maintenance and review of technical documentation and procedure documents

Requirements:

EDUCATION:

  • University degree in Statistics, Physics, Economics, Finance, Mathematics, Engineering or comparable

TECHNICAL KNOWLEDGE:

  • Strong IT skills in some of the following areas:

- SQL experience in Oracle or MS SQL Server

- MS Excel, MS Access, VBA

- Statistical software (Matlab, SAS, R)

- Experience working with large datasets

- LaTex

- C++

  • Knowledge of quantitative methods and concepts used in risk measurement eg regression, variance/covariance, probability distribution and statistical inference
  • Familiarity with regulatory capital requirements for financial institutions is an advantage
  • Experience with financial risk models and concepts eg VaR, sensitivities, and loss distributions is a plus

LEVEL OF EXPERIENCE/EXPERTISE:

  • Experience in the risk function of a financial institution preferred but exceptional graduates considered.
  • Proficiency in English and technical report writing
  • Experience in the specification and implementation of an internal capital adequacy assessment process is an advantage