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Senior Manager, Risk Measurement Team


Senior Manager, Risk Measurement Team

Dublin | Ireland

Description of business unit

Model Risk Management Function is responsible for setting andoverseeing thestandards and measurement techniques usedto support key processes relating to IRB capital calculation, IFRS 9 impairment calculation and credit decision models across the Group. The Function also set the standards and policies for managing model risk across the Group and maintains the Groups inventory of models. The Independent model validation team is also part of the function.

Externally, Model Risk Management 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 Senior Manager 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 Model Risk Management, 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. 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

Essential Skills and Experience

  • 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 modelling concepts including in the key areas of Regulatory 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.
  • Diversity of risk measurement experience, e.g., market risk, credit counterparty risk, operational risk, liquidity risk.
  • Strong people management skills.
  • 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 will not be accepted for this role.

Closing date: Oct 23, 2018
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