You must have;
- 3-5 years of IRB modelling experience, with at least 18 months in the non-retail space.
- End-to-end IRB modelling, particularly around building the development proposition.
- Leading projects at a manager level.
You must have IRB development, regulatory requirements and ideally IRB PD methodology experience.
This is an integral role for the Bank as the team are responsible for the design and delivery of predictive credit risk measurement models relating to the Bank’s capital models. These models determine the level of risk associated with individual borrowers, and drive the determination of the Bank’s regulatory capital requirements.
The team is currently undertaking a multi-year redevelopment of all IRB models followed by the rollout of new IRB models, under the banks’ IRB rollout plan and work alongside teams in the UK and Dublin, which represents a key strategic objective for the bank. The role involves working closely with colleagues across the Business, Credit Risk and the Chief Data Office.
The IRB Model Development Manager will play a leading role in the re-development of existing and new IRB models for specialised lending under the banks’ IRB rollout plan. You will work alongside teams based in the UK and in Dublin.
They’re looking for someone who would be interested in:
- Development of IRB models to support business decision making, risk management and estimation of regulatory capital requirements in line with internal development standards and policies. This includes Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models;
- Managing a team of quantitative analysts.
- Engaging with customer facing Business teams and leading workshops to understand how our analytic outputs can support their decision making.
- Extracting, transforming, and cleaning the data required for IRB modelling and analysis purposes;
- Engaging with regulatory bodies as part of the on-going cycle of regulatory review of their models.
- Contributing to the standards, methodologies and toolsets required to perform analytic activities;
- At least 3-5 years’ experience encompassing IRB model development/validation and decision support model relates roles.
- A bachelor’s degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics. (Confirmation will be sought if successful for the role.);
- Ideally have Advanced level of SAS or SQL programming – an equivalent level in an alternate programming language would be consider (e.g. R, Python, Matlab). Advanced experience in extracting, transforming, and cleaning data for modelling purposes;
- Experience writing technical documents that meet internal and regulatory standards. Experience in engagement with regulatory or audit bodies;
- Experience training and managing the day to day tasks of junior team members;
- Strong ability to build relationships and communicate with key stakeholders;
- Curiosity and inventiveness. Good problem solving skills with capability to defend their decisions from challenge both on a technical and business front.