The primary purpose of this role is to support the capital modelling team in the delivery of credit capital forecasting and related items. This role support a range of team deliverables including Pillar 1 capital forecasting and Pillar 2 credit (including concentration) estimation for both internal (e.g. ICAAP) and regulatory purposes (e.g. SSM) and any enhancement to the underlying models.
• Test and monitor existing credit risk models and sub-components and make recommendations for enhancement
• Support and optimise template structures to deliver final stress test results for internal and external requirements e.g. SSM, ICAAP.
• Liaise with colleagues in Finance, Risk and Credit to ensure consistency and veracity of results and process handovers.
• Analyse and produce high quality value-added management monitoring information for the group’s credit portfolios covering required regulatory and operational requirements, key performance indicators, risks and trends.
• Build data sets which are robust and efficient for use across Credit Risk, helping to maximise speed of developments through efficient coding.
• Provide a high standard of documentation on all model development projects.
• Ensure Training and support to junior analysts where required.
You will be highly PC literate with a good knowledge of Microsoft applications and experience in SAS, SQL or VB. SAS in particular would be advantageous.
Please contact pa[email protected] or +35316099404 for further information.
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