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Statistical Modeller - Wholesale Credit Risk (EAD,

Nicoll Curtin Ltd
Nicoll Curtin
Date Posted
31st October 2016
Credit Risk
£60,000 to £130,000 Per Annum
Contract Type

Statistical Modeller - Wholesale Credit Risk (EAD, LGD, PD) - AVP or VP level

Our client, a global investment bank, is looking for a VP or AVP-level Statistical Modeller, to work in the Wholesale Credit Risk Quant team.

Overall purpose of role:

  • Develop, document, and calibrate credit risk models in line with regulatory requirements, e.g. Basel/PRA
  • Support end to end model calculation & non-statistical components of models
  • Support user understanding and investigate ad hoc queries
  • Enhance model management through automation and development of new approaches

Additional responsibilities:

  • Develop new credit risk models, managing the development through to final internal approval and regulatory submission
  • Interpretation of regulatory modelling framework and develop models compliant to those regulations
  • Validate performance of new models
  • Document new models to required standards Manage stakeholders (20%)
  • Work with other parts of the Bank to ensure understanding of model applications, limitations, uses and abuses
  • Maintain open dialogue with other modellers and validation teams on model developments and reviews
  • Address modelling queries from user community, looking at specific customer ratings and their calculation



  • Post graduate degree in a quantitative discipline, Mathematics, Statistics, Physics, Engineering, Econometrics
  • Very strong knowledge of statistics, e.g. regression analysis, reject inference, decision trees, cluster & time-series analysis
  • Strong numerical programming ability using a range of languages (R, C++, Python); working experience with SQL
  • Track record of producing high quality written communication including results of research and presentations for technical and non-technical audiences
  • Experience of developing & applying statistical models


  • PhD in a highly numerate discipline (Mathematics, Statistics, Physics, Engineering, Econometrics)
  • Understanding of the quantitative techniques used in developing and validating PD, LGD, and/or EAD models
  • Experience in statistical modelling and model testing

This is an excellent opportunity to secure a rewarding and challenging role in a growing team, offering you the chance to work in a fast paced environment where your contribution will be highly valued. To avoid missing out, please send your CV with all relevant details included.

Due to the requirements of this position, only candidates with the skills/knowledge mentioned above will be considered.

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