Our client, an established bank, is looking to recruit a Modelling Manager within their London office, with hybrid working. The Manager will support the enhancement of the risk modelling capability across the business and development and implementation of an Internal Ratings Based (IRB) capital framework.


Role Responsibilities:

  • Management, monitoring and validation of IRB generation 1 models, whilst overseeing the development of generation 2 models to support the development of an IRB capital framework
  • Management and monitoring of existing IFRS9 models coupled with validation activity and recalibration
  • Overseeing the development, management and maintenance of other risk models
  • Compliance with the organisation’s Risk Management Policies and Data Governance Policies
  • Line management and coaching of all direct reports


Qualifications and Experience Required:

  • A university degree in a quantitative field (i.e. Mathematics, Physics, and Engineering) is essential; a master’s degree in a quantitative / finance related discipline is desirable
  • Minimum 5 years’ experience of the development, monitoring and/or validation of credit risk models
  • Extensive experience in the direct development of IRB models (PD, LGD and EAD)
  • Experience in advanced statistical programming (e.g.: SAS, R)
  • Previous experience undertaking a risk related role within a retail consumer finance environment (in particular mortgage assets)
  • Previous regulatory experience relating to IRB models and estimates
  • Specialist knowledge of risk management and model development relating to IRB
  • Advanced knowledge and understanding of probability and statistical techniques and of UK capital management frameworks