IFRS9 Model Development – Senior Manager

Job title:

IFRS9 Model Development – Senior Manager

Company

FK International

Job description

This one is easy to summarise in a nutshell. A leading pillar bank is looking to overhaul IFRS9 Impairment modelling & to do a complete redevelopment of those models – your task here would be to lead that whole initiative.Beyond the 2 year period that this will take place, it will be a case of continuing to maintain and further develop those models in the long run.This redevelopment process is already underway with their capital models with this being a sister program to that.In terms of the legacy models that will be covered – this is a suite of 13 models, mainly PD, LGD & EAD – basically the Primary models as well as other smaller models around that.With regards resources, you will manage a team of 6 model developers as well as someone at Manager level. You’ll also be growing the team by making 2 additional hires and on top of that you’ll be managing the resources of an extensive team brought in from a third party consultancy.With that in mind, on top of a good technical modelling there will be a strong element of team management as well as managing the modelling function’s relationship with the rest of the bank.

• As a member of the Credit Leadership team, support the Head of Regulatory Models by creating a high-performance culture, representing strong leadership & delivering all IFRS 9 regulatory model development initiatives.

• Lead the development of a regulatory models’ roadmap for the IFRS 9 models under your remit to create and maintain a suite of models that are aligned to the bank’s strategy and developed in line with rigorous regulatory standards.

• Lead the delivery of model developments for the IFRS 9 models across all key components (PD, LGD, EAD).

• Ensure that all models are reviewed, redesigned and optimised based on business need and regulatory feedback.

• Model design, AQR readiness, model limitations, model risk and the future proofing of model developments to ensure models meet regulatory requirements and maximise performance over time.

Requirements for this Role

• A degree in a Mathematical/Statistical/Computer Science or associated discipline.

• Several years’ experience in a SAS risk modelling (or comparable) environment building credit risk models preferably across the full credit risk lifecycle.

• Expertise in statistical techniques (such as regression, cluster analysis, principal component analysis, etc.).

• Expertise in relevant model development regulation (eg. CRR, EBA Guidelines, RTS, IFRS9).

• Significant management experience in a relevant financial services (or comparable) environment with a good understanding of all retail products (Mortgages, SME, Revolving Credit, Term Loan) and channels.

Other DetailsHybrid Model: 1 day a week in office if preferred.Please do send on whatever version of your CV you have at hand and would be happy to have a call to discuss in more detail from there.About Our ClientLarge Pillar BankRemunerationCompetitive

Expected salary

Location

Dublin

Job date

Fri, 01 Nov 2024 08:19:02 GMT

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