Data Modeller - Loss Forecasting & Unit Economics

A motor finance company is undergoing a significant transformation as they refocus on lower-risk customer segments and strengthen their credit performance capabilities. To support this shift, they're looking for an experienced Modelling Consultant to rebuild our loss forecasting and unit economics models. This role sits at the heart of their decision-making across pricing, funding, credit, and collections - and offers the chance to shape models that directly influence the business.

Role Overview

You'll lead the development of new forecasting and profitability models that accurately predict portfolio performance and loan-level economics. You'll also design monitoring tools and support implementation across key teams, ensuring the business can rely on transparent, auditable, data-driven insights.

Key Responsibilities

Loss Forecasting Model Development

• Build a portfolio loss forecasting model estimating net credit loss across the loan life cycle.

Forecast key performance drivers:

• Arrears
• Gross defaults
• Recoveries
• Yield
• Portfolio run-off
• Funder level
• Booking vintage/cohort level

Produce granular forecasts for:

Unit Economics Framework

Develop a loan-level profitability model capturing:

• Yield and run-off
• Expected credit losses
• Acquisition costs
• Operational costs
• Contribution margin
• Lifetime value (LTV)
• RoA/RoE
• Acquisition channel
• Risk tiers/score bands

Calculate key metrics such as:

Enable segmentation by:

Monitoring & Reporting Framework

• Build tools to monitor the performance of forecasting and unit economics models.

Enable data-driven decision-making across:

• Pricing
• Credit approvals
• Collections and recoveries
• Ensure all models are transparent, documented, and easily auditable.

Scope of Work

Data Preparation & Alignment

• Source and validate all relevant data from the Data Warehouse.
• Reconcile historical portfolio performance with model inputs.
• Align outputs with financial planning and FP&A models.

Model Development

• Build loan-level cash-flow models including revenue, expected loss, and operating expenses.
• Design modular frameworks to support pricing and acquisition strategy by channel and score band.

Develop:

• Roll-rate models for defaults
• Balance run-off models
• Recovery models split by key performance drivers
• Segment portfolios by funder, risk score, and booking vintage.

Validation & Testing

• Conduct back-testing and sensitivity analysis.
• Document all assumptions, methodologies, and validation outcomes.

Implementation & Knowledge Transfer

• Provide full model documentation.
• Deliver SQL queries used for data preparation.
• Run training sessions for Risk Analytics and FP&A teams.

Deliverables

Fully developed and validated:

• Loss forecasting models
• Unit economics model
• Methodology
• Assumptions
• Validation

Technical documentation covering:

• SQL code for data preparation and model execution
• Knowledge transfer sessions and training materials

Required Skills & Experience

• Strong experience in credit risk modelling, forecasting, or portfolio analytics.
• Ability to build, validate, and explain complex financial and risk models.
• Strong project planning and management skills, including timelines and milestone delivery.
• Excellent communication skills - able to translate analysis into actionable insights.

Working Pattern

• Hybrid role
• On-site presence required 3 days per week