Retail Credit Risk Modeller – IRB / IFRS9 at Essential Consulting, North West London, £Contract Rate

Essential Consulting is currently supporting a major banking client seeking an experienced Retail Credit Risk Modeller to support a major UK banking client on a regulatory-driven credit risk modelling programme.

The engagement will focus on the remediation of an existing default engine to enable the development of consolidated IRB models. Working within the Retail Model Development function, you will play a key role in delivering the required remediation and subsequent model development within a demanding regulatory timeline.

• Support the remediation and enhancement of an existing retail credit risk default engine.
• Undertake IRB model development, with exposure to IFRS9 modelling also highly relevant.
• Analyse and interpret existing SAS-based models, code and data processes.
• Support the development of new modelling and analytical capabilities using Python.
• Perform detailed data analysis, model development, testing and documentation.
• Work closely with Credit Risk, Model Validation, Data and Technology stakeholders.
• Ensure modelling outputs are delivered to the required regulatory and governance standards.

Key Requirements: 

• Strong Retail Credit Risk / Credit Analytics background within banking.
• Hands-on IRB/IFRS9 model development experience.
• Strong analytical and data skills with experience working with large and complex datasets.
• Strong SAS expertise, particularly the ability to understand and work with existing SAS models/code. 
• Strong Python modelling and analytical capability; candidates with strong experience across both SAS and Python are particularly desirable.
• Understanding of credit risk model governance and the interaction between Model Development and Model Validation.
• Ability to deliver effectively within tight regulatory timelines.