Head of IRB Model Development

Head of IRB Model Development

Responsibilities

1. Define the strategic vision and roadmap for the modelling of regulatory and economic credit risk capital.

2. Lead and mentor a highperforming team of risk model developers and quantitative analysts fostering a collaborative environment and promoting continuous professional development.

3. Develop maintain and implement a comprehensive regulatory and economic credit risk capital model development framework in line with the Prudential Authoritys (PA) regulatory requirements internal policies and industry best practices.

4. Ensure appropriate design and development of credit risk models including:

   • Probability of Default (PD)

   • Loss Given Default (LGD)

   • Exposure at Default (EAD)

   • Credit portfolio models

5. Partner with key stakeholders across The Company to ensure alignment of model design and performance with business objectives and capital management strategies.

6. Remain at the forefront of developments in credit risk modelling (both internal and regulatory) the regulatory landscape and industry best practices.

7. Be a trusted advisor and sounding board on regulatory matters by supporting The Company.

8. In partnership with the independent model validation function confirm models continue to perform as expected and/or address known model design or performance deficiencies.

9. Provide guidance data and analysis of exceptional quality relevance and insightfulness to support businesscritical decisions.

10. Collaborate with the IFRS 9 model development team to ensure regulatory credit risk models remain appropriate inputs to IFRS 9 Expected Credit Loss estimates.

11. Engage and collaborate with Credit Risk Finance and Business Units to integrate credit risk models into the broader risk management frameworks and capital planning processes.

12. Actively contribute to maintaining a rigorous governance framework for model risk including development documentation validation and use.

13. Collaborate with IT and data teams to ensure efficient model implementation data quality and system integration.

14. Contribute to the development of stress testing and scenario analysis frameworks for credit risk to assess the impact of adverse economic conditions on the credit portfolio.

15. Champion The Companys culture and values ensuring your team embodies these principles in all decisions and actions.

Experience Skills and Capability

1. Advanced degree in a highly quantitative field such as Economics Mathematics Statistics or Engineering with strong academic performance.

2. 10 years experience in credit risk modelling teams.

3. Proven leadership experience in managing teams projects and crossfunctional collaboration.

4. Experience leading an organisation through transformational change.

5. Strong background in risk modelling statistical analysis and programming languages (e.g. Python R SAS MATLAB C).

6. Indepth understanding of statistical modelling for portfolios with varied risk types across retail and commercial books including capital (regulatory and economic) provisioning and stress testing.

7. Strong knowledge of regulatory requirements especially in the context of the IRB approach for credit risk.

8. Extensive knowledge of the full model lifecycle and associated implementation controls.

9. Selfmotivated with the ability to work both independently and collaboratively.

10. Strong communication skills (written verbal and presentation).

11. Willingness to learn and adapt to change quickly.

12. Professional certifications such as FRM CFA or PRM are advantageous.

13. Experience with version control tools (e.g. GitHub Azure DevOps) or cloud platforms (e.g. Azure) or willingness to learn.