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Senior Manager (Credit Risk Modelling)
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VN-4176
Permanent
London
£80,000 to £110,000
16 December 2016
We are looking for a Senior Manager (Credit Risk Modelling)
Lead on elements of the Solvency II and Economic Capital technical advice, modelling and insight in relation to credit risk to support LGR and other L&G Group businesses, including both the credit asset exposure and liability side exposure via Matching Adjustment.
Develop strategy for design and implementation of updates and replacements to LGR Finance’s credit models including specification of methodology. Provide pragmatic solutions to remediate weaknesses and meet customer needs. Hands on coding of model developments (e.g. in R, Access, Excel, VBA).
Provide deep analytical capability within the LGR Finance credit risk modelling team to support understanding of the drivers of credit risk, including the market spread risk on credit assets.
Work closely with stakeholders to develop and implement credit risk modelling strategy to support practical, economically beneficial investment decision making across L&G Group. Manage relationships with stakeholders and communicate and explain the evolution of credit risk modelling.
Manage the regular production of credit calibrations for use in reporting processes making certain appropriate controls are in place to ensure sound capital management. Diagnosis and explanation of calibration movements. Drafting and maintenance of credit risk calibration documentation.
Ensure that all credit risk modelling activities are consistent with the fair treatment of L&G’s customers.
Qualifications:
Quantitative first degree. FIA/CFA or other professional qualification (preferred but not required).
Knowledge:
Knowledge of market best practice statistical and risk modelling techniques
Knowledge of portfolio credit modelling and single name credit models including structural models
Skills:
Outstanding mathematical and quant modelling skills
Hands-on model development capability, including coding in statistical packages and managing financial modelling projects to delivery through all stages of validation and governance
Good written and verbal communications, in particular clear and concise drafting of technical documentation, and ability to explain modelling concepts to non-experts
Whatever your role, we reward ability, performance and attitude with a package that looks after all the things that are important to you. Our employees have a wide range of benefits including a generous pension scheme, life assurance, 30 days' holiday, private medical insurance, performance related bonuses, discounts at both a huge range of high street stores and our own great products, as well as a 12% car allowance scheme, your hard work will be rewarded when you join us.
About L&G
Working here is about being there for our customers; we’re available should the worst happen and we work together to enable social and financial equality across the UK. But it’s also about you –how you develop and what you can achieve. We’ll help your talent thrive in an environment where you’ll be supported to work flexibly and autonomously, sharing in our success and rewarded for a great performance with a generous benefits package.
About the business area
With around one million customers, our retail business helps turn customers’ pension savings into lifelong retirement income and our corporate business looks after our defined benefit pension schemes ensuring they are effectively managed to protect against risk and achieve their maximum potential.
