Assistant Manager – Credit Risk Assurance
Acting as a technical specialist on the external audit of credit risk models (IFRS 9, CECL, Regulatory) at our audit entities and conducting procedures that include but are not limited to:
1) Technical model development documentation review
2) Technical model validation documentation review
3) Assessment of model performance
4) Independent replication of any of the above
Acting as a technical specialist on the external audit of audit entities end to end credit risk process and conducting procedures that include but are not limited to:
1) Credit risk governance reviews
2) Credit risk policy and procedure reviews
3) Individual credit file reviews
4) Substantive testing of any of the above
Advising non audit clients on the impact of changing requirements in provision accounting standards (IFRS9) and helping clients validate or build credit risk measurement models.
The individual will also be expected to complete technical analysis for workstreams within both IFRS9 and credit risk modelling engagements.
The individual will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions.
Knowledge & Experience:
Experience working in a credit risk modelling role within a financial or professional services firm.
Practical experience in credit risk modelling techniques
Knowledge and practical experience in accounting and risk requirements as related to IFRS9, CECL and regulatory credit risk models
Detailed working knowledge and experience of all aspects of model development and validation including the following:
1) Data extraction and pre-processing
2) Modular model development
3) User acceptance testing
4) Model performance assessments
Relevant Sectoral experience – developing Retail/ Wholesale banking PD/EAD/LGD models
Knowledge and experience of credit risk processes, governance and documentation
Qualifications & Skills:
Ability to communicate risk/finance requirements of IFRS9 to the reciprocal function, i.e. risk to finance and finance to risk.
Ability to understand and execute programming code including SAS, R, Python
Flexibility and agility to contribute in a senior capacity to a broad range of banking risk engagements.
Excellent oral / written communication, planning, project management, networking and influencing skills.
Flexibility to work across the UK (and internationally) where required