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

Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 15 Sep 21
Highly Competitive Salary Package
Millar Associates
in London, United Kingdom
Permanent, Full time
Last application, 15 Sep 21
Highly Competitive Salary Package
Posted by:
Craig Millar • Recruiter
Posted by:
Craig Millar
Recruiter
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 build Wholesale Credit Risk models (IRB, IFRS9) and Pillar 2 Stress Testing models for the PD, EAD and LGD in the Corporate, Institutional and Commercial banking and submit to the PRA for approval for regulatory capital calculation, and to improve the models’ accuracy and efficiency.

Wholesale Credit Risk Models (IRB, IFRS9) & Stress testing, PRA/Regs, PD, EAD, LGD


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.
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