IRB Reviewer

1 month ago

London, United Kingdom Triumph Consultants Ltd Full time

QAD 1623/1901Role: IRB Reviewer – Mortgage Credit Risk Contract Length: Anticipated 12-month initial contract Location: London – hybrid 2 days per week Pay Rate: Competitive Market Rate This role will sponsor SC Clearance for the right candidate. A Credit Risk Measurement Team is seeking an IRB Reviewer to contribute expertise in evaluating IRB rating systems and broader credit risk measurement areas, including decisioning, impairment (e.g., IFRS 9), and stress testing models. The team is additionally tasked with reviewing firms' RWA projections for the concurrent stress testing program. Key accountabilities:

  • Critically review firms’ mortgage credit risk models against the IRB requirements and make recommendations to senior PRA committees.
  • Scope and lead on-site visits to regulated firms coupled with desk-based reviews of documentation, develop conclusions and write reports and present results to senior PRA partners.
Key requirements:
  • Significant experience of mortgage credit model development and/or validation, gained within one or more firms with a significant mortgage lending business, a consultancy or a regulator.
  • Excellent knowledge of the main techniques used to develop mortgage IRB models, including of relevant IRB requirements (e.g. CRR, Supervisory Statements) and guidance, and of the supporting governance and validation processes that need to be in place to support the models.
  • A consistent track record of working independently, or as part of a team, to deliver against hard deadlines.
  • Ability to clearly and concisely communicate the results of quantitative analysis to both senior technical and non-technical audiences both verbally and in writing.
Desirable:
  • Significant experience of wholesale credit model development and/or validation and excellent knowledge of the main techniques used to develop wholesale IRB models, gained within one or more firms with a significant mortgage lending business, a consultancy or a regulator.
  • A good understanding of how credit risk models are used within a bank’s retail or wholesale credit risk function.
  • Good knowledge of the main techniques used in the stress testing of credit risk capital requirements.
  • Background in Econometrics, Mathematics or Statistics ideally
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