Credit Risk Analyst

Credit Risk Modellers (IRB)

💰 £600-£650/day (Inside IR35) |📍 London, UK (Hybrid) | 📅 6-Month Contract (ASAP Start)

Our client, a top global organization, is seeking an experienced Credit Risk Modeller to support the development and delivery of IRB (Internal Ratings-Based) models across Retail, SME/Business Banking, and Corporate portfolios. This role sits within a quantitative modelling team focused on regulatory model development, supporting IRB permission requirements and ongoing compliance within a highly regulated banking environment. As a Credit Risk Modeller, you will contribute to the design, development, and maintenance of PD, LGD, and EAD models. You will work with large-scale credit datasets, applying statistical techniques and regulatory frameworks to deliver robust, defensible models.

Key Responsibilities

• Develop IRB credit risk models (PD, LGD, EAD)
• Analyse loan-level datasets and identify key risk drivers
• Apply regulatory frameworks (CRR, CRD IV, PRA, EBA)
• Translate regulatory requirements into modelling approaches
• Build and maintain models using Python
• Support model validation and governance processes
• Produce high-quality model documentation
• Engage with model risk and validation teams
• Ensure compliance with regulatory expectations
• Communicate modelling outputs to stakeholders

Essential Skills & Experience

• Strong experience in IRB credit risk modelling
• Hands-on development of PD, LGD, and EAD models
• Deep understanding of CRR, CRD IV, PRA SS11/13, EBA guidance
• Strong Python programming for modelling and analysis
• Experience working with large credit risk datasets
• Knowledge of SAS, R, or advanced Excel
• Experience in model validation and governance processes
• Strong documentation and regulatory reporting skills
• Excellent communication and stakeholder engagement
• Experience across Retail, SME, or Corporate portfolios

Desirable Experience

• Experience supporting IRB permission applications
• Exposure to model risk management frameworks
• Experience in large banking environments
• Prior regulatory interaction or audit exposure

If this is relevant to your experience, please apply with your CV and we'll be in touch. Thank you!