Head of IRB Modelling

Our client is a well-known banking group with a franchise that spans retail banking, corporate and wholesale banking and investment banking.  The corporate banking arm provides specialist financing to a wide range of sectors, principally project financing, commercial real estate financing, mezzanine finance and principal finance.

The firm holds AIRB status for many its business lines, however, is now seeking AIRB permission for several other asset classes.  It is also in the process of delivering the IRB repair requirements as per ECB.

As part of the strategic growth plan of its risk modelling function, the firm now seeks an experienced credit risk modeller with significant prior experience of IRB modelling to build and lead a new team being set up to deliver AIRB for the firms’ specialist lending portfolios.  This is a new role, reporting to the Head of Risk Analytics and a key member of the firms Enterprise Risk Modelling team will have the following responsibilities:

• Leading the 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.
• Managing teams involved in the development of IRB models, guiding them in the development of technical skills as well as core behavioural competencies.
• Engaging with senior stakeholders across the Business, Finance and Risk to ensure that IRB models can facilitate business needs while meeting regulatory requirements and provide enhancements to the application of risk management within the Bank.
• Engaging with regulatory bodies and internal second and third line of defence assurance teams as part of the on-going cycle of review of our models.
• Leading the development and refinement of standards and methodologies required to deliver these models and ensuring they are embedded within the development team.

Applicants should possess significant experience of IRB models (as a developer or validator), with prior experience of leading small teams, ideally with some remote management experience.  Corporate banking would be ideal; however, retail banking experience is equally of interest.