People, Person

Head of Risk Measurement


Head of Risk Measurement

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.

Division Description

Risk Strategy is responsible for developing and maintaining the Group risk measurement techniques and standards to support key decision making processes including setting the Group Risk Appetite, conducting Solvency Stress Testing, determining internal capital adequacy requirements (ICAAP) and producing Portfolio Risk Analytics and Insights to key stakeholders.

Externally, Risk Strategy interacts with Regulators, industry bodies, banks and consulting firms to ensure both adherence to the European regulatory requirements, and to remain at the forefront of industry best-practice in risk measurement techniques.

Purpose of the Role

The Head of Risk Measurement is responsible for:

  • Developing, maintaining and overseeing the Group`s Model Risk Policy & Standards covering IRB, IFRS9, Economic Capital (ECAP), Stress Testing and other relevant material models;
  • Ensuring new and emerging regulatory guidelines (e.g. EBA, TRIM, PRA, Basel, etc.) are appropriately interpreted, assessed and incorporated in the Group model governance and management processes.

We are looking for motivated, problem solving and ambitious analytics professionals, to work as part of a continuously growing community in Bank of Ireland, who are focussed on using current and developing leading edge risk measurement tools and techniques to solve complex business issues & problems. Reporting to the Head of Risk Strategy, this role offers the opportunity for an experienced risk professional to become one of the key leaders in a well-established team and work to further drive risk measurement and model risk management activities. In addition to a competitive compensation and benefits package, this role offers unique exposure to the wide range of risk analytics activities, while perfectly positioning you for a career path within our newly launched Group Career Framework that facilitates accelerated career development and fosters a sense of belonging and progression.

Key Responsibilities

  • Model Policy & Standards - Define, develop and maintain the Group`s Model Risk Policy & Standards covering model lifecycle for IRB, IFRS9 and other relevant risk measurement models. Communication of policy and standards to key stakeholders and active engagement with model owners.
  • Model Oversight - Develop, maintain and oversee of the Group`s IRB risk modelling approach and strategy. Lead the interpretation, gap analysis and impact assessment of emerging and new regulatory requirements (e.g. EBA, TRIM, etc.). Design and support delivery of the next generation of models and measurement methodologies to meet new requirements and enhance risk measures for use in credit approval, capital allocation and portfolio risk assessment processes within the Group.
  • Model Governance - Co-ordinate papers and provide secretariat for the Group Risk Measurement Committee (RMC). Manage the Group`s model inventory. Identify, measure and produce performance monitoring reports on model risk. Oversee model development activities including steering and documentation of key models
  • Regulatory engagement - Build and maintain an effective relationship with the Group`s regulators and relevant stakeholders. Provide main contact for the ECB TRIM process. Interface with regulators on all matters in relation to IRB models.

Essential Qualifications

  • Strong academic background with a Third level qualification in a highly quantitative discipline (e.g. mathematics, statistics)
  • Proven track record as a senior quantitative risk manager at a leadership level for 10+ years

Essential Skills and Experience

  • Diversity of risk measurement experience, e.g.: market risk, credit counterparty risk, operational risk, liquidity risk.
  • Detailed knowledge of credit risk modelling particularly in the domain of IRB
  • Detailed understanding of the Capital Requirements Directive (CRR), EBA guidelines and ECB TRIM Guide. Detailed understanding of the finalised Basel III rules and associated regulatory guidance/requirements as these relate to risk modelling.
  • Ability to deal with new and emerging new modelling concepts including in the key areas of Regulatory and Economic capital e.g. Calibration methodologies for low default portfolios
  • Ability to understand and develop principles underlying the different specific kinds of risk measures; and to translate these into policy for senior management and into guidance for model developers.
  • Strong people management skills, with the ability to lead, collaborate with and motivate colleagues in a complex and changing environment.
  • Strong communication skills, with emphasis on effective communication with Group Senior Management and external stakeholders including Regulators
  • High level of resilience, energy and execution ability.
  • Ability to think strategically and `see the bigger picture`.
  • Strong goal orientation and proven track record in achieving results

Bank of Ireland Group is an equal opportunities employer and is committed to fostering an inclusive workplace which values and benefits from the diversity of our workforce.

Where Agency assistance is required Bank of Ireland Recruitment Team will engage directly with suppliers. Unsolicited CVs / profiles supplied to Bank of Ireland by Recruitment Agencies will not be accepted for this role.

Closing date: Apr 19, 2018
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