Job Description

Role: IRB Reviewer – SC

Contract Length: 12 Months initially

Location: London

IR35: Inside

Rate: 550/day

Security Clearance: SC (Client will consider putting people through SC)

Minimum Requirement:

• Credit Risk Models – Mortgage (Retail) or Wholesale (Corporate) Experience
• Background in Econometrics, Mathematics or Statistics ideally
• Stakeholder/Client Management & Engagement skills
• IRB Background is essential
• Ensure experience is in Credit Risk NOT Market Risk
• Probability of Default (PD)
• Loss Given Default (LGD)
• Exposure at Default (EAD)

Job Description

This is a technical role. You will have responsibility to:

• 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.

Role Requirements - Minimum Criteria

• 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.

Role Requirements - Essential Criteria

• 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.
• A proven ability to work across boundaries effectively and engage collaboratively with staff at all levels.
• A demonstrated dedication to diversity and inclusion.
• Quantitative skills gained in relevant roles.

Role Requirements - Desirable Criteria

• 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.

To apply for this role please submit your latest CV or contact Aspect Resources on 0121 794 8181