Head of Corporate Credit Risk & Stress Models (Dir), London

London
Ref: CRSM-1705
£££ Highly Competitive Salary Package
Large Global Banking Group
Wholesale Credit Risk Models (IRB, IFRS9) & Stress testing, PRA/Regs, PD, EAD, LGD

This leading global banking group operates around the world offering Retail, Wholesale, Private Banking as well as Wealth Management & Corporate Banking. This key role is to lead the Wholesale Credit Risk models (IRB, IFRS9) and Pillar 2 Stress Testing team for Corporate, Institutional and Commercial banking and submit to the PRA for approval for regulatory capital calculation, and to improve the models’ accuracy and efficiency.

KEY RESPONSIBILITIES:

  • Upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.
  • Assess the downstream impact of models to understand its network risk.
  • Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented 
  • Understand Model related uncertainty risk including data, regulatory, business strategy, market, competitive landscape, system, environment, and others to ensure model sponsors.
  • Represent the model users and ensure all the model use cases are considered within the model life cycle activities
  • Taking the lead in developing the end-to-end model solutions.
  • Coordinating the submission of the model for validation, and submission of the approval package for consideration.
  • Coordinating the model implementation, model performance monitoring and model decommission.

SKILLS & EXPERIENCE:

  • 10+ years of experience building wholesale credit risk models (IRB, IFRS9 and stress testing.
  • Experience of having your models reviewed by the PRA.
  • Substantial PD/EAD/LGD model development experience in the Corporate, Institutional, and Commercial book.
  • Awareness and thorough understanding of the regulatory framework in which the firm operates.
  • Good knowledge of banking risk management, a knowledge of Basel/CRR/EBA/IFRS9.
  • Understanding of Corporate, Institutional, and Commercial portfolios and products will be ideal.
  • Strong people leadership to lead team and to influence stake holders.