Website Sainsbury's Bank
Credit Risk Modelling manage the Bank’s credit models for all lending products. These include application and behaviour scorecards as well as the IFRS9 provision models (PD, EAD and LGD models). Application / behaviour scorecards are used for credit assessment at point of application and throughout the account lifecycle (fraud at point of application, account management and collections and recoveries). The IFRS9 models are mainly used for bad debt provisioning purposes to estimate the amount of bad debt that we will experience, now and in the future.
- Development of accurate and reliable credit risk statistical models (together with the associated documentation). Manage the timescales, co-ordinating meetings and take the lead in the project, making sure the project complies with the Model Standards, where applicable. Liaising with external suppliers when required.
- Provide advice and support on statistical modelling techniques within the team and to other areas of Sainsbury’s Bank, undertaking ad-hoc data analysis and data mining to investigate specific areas of concern and provide information in an appropriate format for the audience
- Produce regular model performance monitoring, ensuring comparisons are accurate, pertinent and relevant for all Retail Credit Risk models, both Application and Behavioural. Put forward recommendations to management
- Keep abreast of research techniques, attend academic forums and where possible initiate projects to evaluate the benefits new credit risk quantification techniques may bring to risk management practices. Keep abreast of all regulatory and legislative changes
- Liaise regularly with business areas to keep abreast of new business initiatives and proactively highlight any potential modelling or scoring changes to Management, helping to shape the modelling strategy
- Ability to work accurately to tight timescales
- Excellent verbal and written communication skills. Able to convey technical issues to non –technical colleagues
- Good problem solving skills.
- Proven track record of working on own initiative, with the ability to introduce fresh thinking to the role and the wider team
- Strong relationship management skills
- Well organised and able to prioritise workload in line with tight deadlines and work effectively under pressure
Qualification & Experience:
- Experience in the development of statistical/optimisation modelling solutions
Vacancy Type: Full Time
Job Location: Dundee, Scotland, UK
Application Deadline: N/A