- Development for the following IRB (Internal rating based) models in accordance with internal policies and standards:
- Rating, PD, LGD and EAD models
- Stress testing models
- Production of model documentation and reports in accordance with internal standards; this includes:
- Writing thorough model development documents – technical and business using MS word
- Generating reports relating to the models using SAS/R and excel
- Manage the ongoing model maintenance (calibration) and monitoring once IRB is in BAU
- Proactively designing and improving models for business use; this includes understanding the nature and change of business, proactively managing discussion with business and other stakeholders
- Challenge and improvise efficiency of the models and their performance; keeping the models up to date with regulations and as well as business requirement
- Analyse and work on the impact on model performance due to changes in business activity, market and/or economic performance
- Providing input to the ongoing regulatory self-assessment for IRB; Coordinating responses from various stakeholders on regulatory requirements on IRB topics and assessing their compliance status
- Supporting the provision of data on model testing and monitoring; this includes
- Regular monitoring of the models using SAS/R and excel
- Testing the input and output of the models and its performance using SAS/R and excel
- Support remediation activities of IRB gaps – reviewing and understanding of the gaps in relation to the regulatory requirements and delivering prudent measures to remediate those
- Ad hoc model testing and recalibration of the models based on monitoring results and remediation requirements
- Represent SCUK on the appropriate internal and Group committees and forums
- Independently present the monitoring results and associated appropriate measures to the various stakeholders
- Adhering to our commitment to Consumer Duty ensuring we put our Customers' needs first and set higher and clearer standards of consumer protection
- Extensive knowledge and experience in model development, validation in IRB or IFRS environment
- Hands on experience from one or more statistical data programmes such as SAS, Python, R
- Good understanding of the IRB regulation (CRR, PRA, EBA) and interpret these for modelling purposes
- Substantial experience and knowledge of credit risk and products
- Understanding and previous relevant experience in using a variety of statistical techniques
- Familiar with technical and regulatory terms and translate these to the stakeholders in non technical way
- Strong ability to articulate findings in conclusions and potential recommendations to stakeholders in non technical terms
- Strong Microsoft Office skills; particularly Excel
- Have a strong analytical background and numerical skills
- Competitive salary dependent on experience
- days holiday per annum, plus bank holidays
- Annual bonus based on personal and company performance
- Car allowance
- Private medical cover
- Generous pension contributions
- Employee assistance programme
- Sharesave scheme
- Gym passes at a reduced rate for , gyms, leisure centres etc
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SCUK Senior IRB Quantitative Analyst - Redhill, United Kingdom - Santander
Description
SCUK Senior IRB Quantitative AnalystCountry: United KingdomSantander Consumer Finance is one of the UK's Leading Motor Finance companies and we are currently looking for a Senior IRB Quantitative Analyst to primarily be responsible for scorecards and models of the SCUK IRB roll out process.
This role operates on a hybrid model and at least days a week are required in the office in Redhill, Surrey. Remote workers will not be considered.
Responsibilities will include:
What we're looking for:
We have a range of benefits available which include:
Inclusion
At Santander we're creating a thriving workplace where all colleagues feel they belong and are supported to succeed. We all help to make Santander a workplace that celebrates diversity and attracts, retains and develops the most talented and committed people through living our values of Simple, Personal, and Fair.
What are the next steps:
If you are interested in this role and believe you have the skills, experience, and knowledge then we'd love to hear from you. Please go ahead and click apply which will take you through some questions and allow you to submit your CV and covering letter.
