Risk Data Scientist

Business Unit: Risk
Salary range: £38,400 – £48,000 per annum DOE + red-hot benefits
Location: Remote – work from anywhere within the UK
Contract Type: Permanent

Our Team

The Credit Risk Stress Testing Team play a key role in the development, maintenance, and performance monitoring of VMUK’s suite of Credit stress testing models. These models are used to forecast loan loss provisions and capital requirements under a range of Stress scenarios, including regulatory stress tests. You’ll have the opportunity to work across a broad range of models spanning retail and business asset classes and drive business insight.

What you’ll be doing
• Developing and maintaining credit stress testing models across Retail and Business portfolios, and across IRB and IFRS 9 modelling environments, including ongoing model maintenance and the scoping, design, development, validation and implementation of credit stress testing models, in line with Bank standards and regulatory compliance requirements.
• Working closely with management to independently implement changes to the SAS based Stress Testing Engines and associated analytical tools and Excel interfaces, with evidenced assurance of implementation communicated effectively to management.
• Supporting delivery of first-class model documentation and recommendation papers to governance committees to gain the support of key stakeholders.
• Supporting the development and maintenance of model performance monitoring and annual reviews, ensuring models currently in operation remain robust and fit for purpose.
• Collaborating with credit risk modelling, finance and business teams for obtaining insights and feedback for the management of the credit stress testing models and supporting the operational/delivery arm of the credit stress testing team in relation to model usage.
• Ensuring models comply with internal and external polices and regulations, through the management of robust processes, ensuring appropriate challenge, oversight, documentation and by engaging with key stakeholders.
• Focusing on continuous improvement through identification of model performance issues, addressing oversight actions and by embedding learnings and evolving business and regulatory requirements.

We need you to have
• Strong model development experience in stress testing, ideally using SAS and R, and Credit Risk knowledge.
• Knowledge of stress testing model development in IFRS 9 and IRB environment across a range of Retail / Business credit portfolios with a good understanding of model usage
• The ability to make timely and appropriate decisions and take accountability for your actions.
• Proven ability to build strong networks and relationships with internal and external parties.
• Strong communication skills to be able to effectively communicate complex methodologies, processes, and outputs to colleagues with varying levels of subject matter expertise.
• Drive to foster teamwork, collaboration, and respect for others.

It’s a bonus if you have but not essential
• Experience of economic time series analysis.
• Understanding of prudential IRB and IFRS9 impairment concepts.

Red Hot Rewards
• Generous holidays – 38.5 days annual leave (including bank holidays and prorated if part-time) plus the option to buy more
• Up to five extra paid well-being days per year
• 20 weeks paid, gender-neutral family leave (52 weeks in total) for expectant parents and those looking to adopt
• Market-leading pension
• Free private medical cover, income protection and life assurance
• Flexible benefits include Cycle to Work, wellness and health assessments, and critical illness
• Ability to work anywhere in the UK (where the role allows)

And there’s no waiting around, you’ll enjoy these benefits from day one.

Feeling insatiably curious about this role? Apply as soon as you can. If we’re lucky to receive a lot of interest, we may close the advert early and would hate you to miss out.