IFRS9 Model Development

1 week ago


Dublin, Ireland FK International Full time

Overview This one is easy to summarise in a nutshell. A leading pillar bank is looking tooverhaul IFRS9 Impairment modelling & to do a complete redevelopment of those models your task here would be tolead 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 asuite 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. Youll also be growing the team by making 2 additional hires and on top of that youll 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 bea strong element of team management as well as managing the modelling function's relationship with the rest of the bank. Your Core Responsibilities 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 banks 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. Demonstrate sound understanding of relevant model development regulation, internal model development/validation standards and the Model Risk Framework and maintain a high focus on this with the team. Proactively manage all key stakeholders including Model Risk & Validation and the Central Bank of Ireland and all other internal stakeholders including Central Data Office, Impairment and Forecasting and Arrears Management to ensure alignment on key development projects and any remedial work. Your Background 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.


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