Are you a quantitative specialist looking to take ownership of high-impact financial models? We are seeking a Senior Financial Modeller to lead the development and maintenance of our core credit risk frameworks. This is a pivotal role where you will bridge the gap between complex data science and financial reporting within a fast-paced, evolving bank.
The Role
As a lead specialist, you will be the primary architect of the models underpinning our IFRS 9 Expected Credit Loss (ECL) framework. You will work closely with the Head of Financial Modelling to ensure our suite of models—covering everything from credit risk to fair value measurement—remains robust, compliant, and insightful.
Key Responsibilities:
- Model Leadership: Lead the development, validation, and enhancement of IFRS 9 ECL components, including PD, EAD, LGD, and SICR.
- Governance & Monitoring: Own the monthly monitoring cycle and present findings to the Model Governance, Credit Risk, and Board Audit Committees.
- Broad Financial Modelling: Support the wider bank with models for effective interest rate (EIR) calculations, hedge effectiveness, and fair value measurement.
- Strategic Risk Projects: Contribute to the build-out of Wholesale portfolio models and support critical regulatory projects including ICAAP and financial planning.
- Stakeholder Collaboration: Act as a technical bridge between the Finance and Risk departments, translating complex data into actionable insights for internal and external stakeholders.
Your Profile
You are a highly analytical professional with a deep interest in credit risk and a proven track record of building sophisticated financial instruments.
- Experience: 5+ years of relevant experience in financial modelling, specifically within mortgages or financial instruments.
- Technical Mastery: High proficiency in Python and SQL for handling large datasets and executing statistical modeling.
- Regulatory Knowledge: Detailed understanding of IFRS 9 regulatory frameworks and the full life cycle of financial instruments.
- Education: A degree in a highly numerate field (Mathematics, Physics, Economics, Finance, or similar).
- Communication: The ability to explain complex quantitative concepts to non-technical committees and senior leadership.
Please apply if you are interested in a confidential conversation about this opportunity.
Unfortunately we are not able to provide visa sponsorship.
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