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Financial Modelling Analyst - City, London, United Kingdom, EC1A2

£600-800

Position

Modelling Analyst

Description of Duties

The work will fall within the following main areas:1) To undertake validation of Head Office models and certain outputs provided by (Gamma, MEV coefficients).2) Enhance the control environment and governance process of the ECL model.3) Support work on the staging criteria including applying forward looking macroeconomic metrics. If the staging criteria is changed, implement the change in the IFRS 9 ECL tool in TheMIS.4) Consider other enhancements (pre-payment risk, appropriateness of macro-economic variables) as raised. The original job spec for the role is attached, with the description of duties now expected to be aligned more closely to the above 4 items. The request for budget and GM justification/approval

Experience Required

Sufficient to cover the requirements of the role per the job specification.

Specific Qualifications / Skills Required

Bachelor or Master Degree in a quantitative subject (Maths/Financial Maths/Engineering/Physic etc.) Good understanding of the various numerical and analytical approaches and models commonly used in the credit portfolio modelling industry. Good knowledge of credit risk metrics e.g. PD, LGD and EAD models.

Personal Characteristics / Other Information

Able to take initiative and deliver results under time pressure.

IT Packages / Equipment Used

Good knowledge of VBA, Access and Excel modelling.

Knowledge of C++, C# or R is an advantage.

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