People, Person

Head of IRB Modelling


Head of IRB Modelling

Dublin | Ireland

Division Description

Group Risk provides strong independent oversight and management of the Group`s credit, market and operational risk strategies. We have responsibility for credit risk management information, credit & market risk underwriting as well as strategic oversight and management of challenged portfolios. The purpose of the Division is to maintain a robust risk culture, in support of the Group`s strategic goals, by ensuring that the appropriate structures, systems, policies and controls are in place to provide effective management of credit, market and operational risk. In delivering these objectives we aim to support the Group in optimising returns over the longer term on the Group`s risk assets through robust asset selection and management of risk.

Description of business unit

Decision Science is the centre of risk reporting and risk modelling within the Credit Risk team in Group Risk. The team has specific responsibility for:

  • developing and maintaining all of the Group`s credit decisioning models
  • developing and maintaining all of the Group`s IRB Basel credit risk models
  • developing and maintaining all of the Group`s IFRS9 credit risk models (from 1 January 2018)
  • maintaining the suite of systems and decision engines in place across the Group to support credit decisioning and other operational processes
  • delivering a large number of reports for management, statutory and regulatory purposes
  • maintaining oversight of the Group`s use of credit bureaux

Purpose of the Role

Decision Science is the centre of risk reporting and risk modelling within the Credit Risk team in Group Risk.

This role is a significant leadership role within Decision Science with overall responsibility for all of the Group`s IRB models. The Group`s IRB models have a significant and direct impact on the Group`s capital adequacy, so this role is an important role in the way in which the Group manages its capital requirements under Basel regulations

The role includes ownership of the maintenance of the existing suite of models, as well as responsibility for the ongoing development of new Basels. At the current time, there is a large amount of change in the regulatory environment, and this role will be pivotal in managing this change.

Key Responsibilities

This role will be responsible for:

  • understanding the full range of regulatory publications that impact IRB models, and defining the Group`s interpretation of the regulations as they relate to IRB models
  • defining the high-level plan for delivering new Basel PD, LGD and EAD models across all of the Group`s IRB portfolios
  • delivering new IRB models in line with the plan, and over-seeing the models through the complex internal and external governance and approval processes
  • ensuring that the Basel "roll-out plan" remains aligned to our strategic aspirations, and delivering new models as required by the roll-out plan
  • delivering new model management processes as required (including revised model calibration and monitoring processes)
  • acting as a key point of contact with the regulatory bodies relating to IRB models: ensuring effective relationships are built and maintained; engaging with regulators as required; and supporting additional regulatory requests and on-site inspections as required.
  • contributing to the development of the Decision Science strategy and leadership initiatives, and contributing to wider Group Risk objectives.

Essential Qualifications

  • Strong quantitative educational background, with a strong quantitative degree and likely to include post-graduate qualifications in a related topic - eg MSc, MBA, PhD in topics such as finance, maths, physics, economics, etc.

Essential Skills & Experience

  • Strong quantitative background with ideally 10+ years` experience in risk model development and a proven ability to lead a large team of technical analysts and managers.
  • Has a comprehensive understanding of IRB models and all regulations that relate to them, with a proven ability to deliver high quality models on time and budget. Regarded as an expert.
  • Pro-actively anticipates internal and/or external business challenges and/or regulatory issues; recommends modelling process and content improvements
  • Proven influencing skills and stakeholder engagement at senior levels with an ability to operate effectively in a matrix environment.
  • Ambition and drive to enhance and innovate in the quantitative area, coupled with strong change management skills.
  • High energy with a drive for results and focus on implementation excellence.

Closing date: Nov 23, 2017

Unfortunately we are unable to process applications at this time due to maintenance. This is expected to last until 6am Monday 20th November. If you leave your details with us here we will contact you informing you when we are live again. Thank you for your patience.

Sign in with LinkedIn
Autofill my information with LinkedIn

Not ?

Thank you

What happens next?

You've seen your dream job, now what can you expect from the process?