SAS Developer - IFRS9 experience

SAS Developer - IFRS9 experience

Inside IR35

Milton Keynes - 2 days onsite

Contract until 31/12/2024

The aim of the role is to manage the end-to-end credit risk stress testing exercises for a given portfolio, such as: Budget, Bank of England stress testing, EBA and ICAAP exercises. Requires management of one to two analysts.

Key responsibilities are:

• Oversee model execution to produce unadjusted model outputs.
• Liaising with Subject Matter Experts to identify required overlays and adjustments to model results.
• Presenting results to governance forum/committees.
• Completing qualitative and quantitative submissions.
• Support the end-to-end model cycle development including, development, validation, implementation.
• Closing internal audit and internal validation points.
• Keeping process documentation up to date with model changes.
• Enhancing and monitoring control over the credit risk stress testing process.
• Impairment and Stress testing aligned to each other - Technical, integration, stress testing and capital risks.
• Stay abreast of regulatory guidance and relevant changes.
• Active engagement with credit risk areas such as portfolio management, collections, or recoveries

Essential Skills / Experience

• Good risk knowledge- Manager level
• SAS Coding - Mainly SAS experience
• IFRS9 experience
• Consider validation, model execution, data modelling background
• Logistic Regression knowledge (desirable)
• Credit Risk Experience.
• Experience in Financial forecasting and modeling
• DOD (desirable however not essential).
• Experience with budget models and stress testing - more business analytics
• Capital impairment experience
• Analytical thinking skills.

Please apply!

Carbon60, Lorien & SRG - The Impellam Group STEM Portfolio are acting as an Employment Business in relation to this vacancy.