My client, a top tier corporate bank requires a number of credit risk modellers to work on the development and implementation of AIRB (Advanced Internal Ratings Based Models), PD (Probability Default), LGD (Loss Given Default) and EAD (Exposure at Default).

The successful candidates will be required to review and validate existing PD, LGD and EAD models before moving over to the development and implementation of new models ensuring that they are understood by the key stakeholders within the business and procedures are adhered to.

In order to be considered for this role you will need to have prior experience of modelling Advanced Internal Ratings PD, LGD and EAD models within a retail, wealth or corporate banking environment. You will also have a comprehensive understanding of RWA (Risk Weighted Assets) and EC (Economic Capital) in addition to a high level understanding of the business implications of Basel II. A deep understanding of credit risk measurement techniques and their application in the retail or wholesale banking environment is essential, as is an ability to programme in VBA, C++, C# or SAS is also required. Finally you will need to have completed an MSc, PhD or equivalent in a mathematical subject.