Senior Credit Risk Modeller - IRB - Mortgages - Retail Banking

Senior Credit Risk Modeller - IRB - Mortgages - Retail Banking

An exciting opportunity opens for an experienced Credit Risk Modelling professional with strong expertise in mortgages and IRB frameworks to lead the end-to-end development, implementation and ongoing management of the Bank's retail credit risk models. The role will have a particular focus on mortgage PD and LGD modelling.

This position offers significant technical ownership across the IRB model life cycle, combining hands-on quantitative development with regulatory responsibilities and senior stakeholder engagement.

Key Responsibilities

• Lead end-to-end IRB model development and implementation.
• Develop and enhance credit risk models, including Probability of Default (PD), Loss Given Default (LGD), retail scorecards and corporate credit risk models.
• Support specialised property lending (IRB slotting) and stress testing methodologies.
• Assess modelling data requirements, quality and availability, particularly around recoveries, collections and collateral.
• Conduct annual model reviews, recalibration and ongoing model testing.
• Contribute to regulatory IRB self-assessments and take ownership of remediation activities.
• Produce technical model documentation and present methodologies and findings to senior stakeholders and risk committees.
• Provide technical guidance to junior colleagues.

Requirements

• Strong hands-on experience developing IRB credit risk models within banking or financial services.
• Good knowledge of IRB regulatory requirements, including PRA, EBA and CRR.
• Strong statistical modelling and analytical skills.
• Practical experience with SAS, SQL or R.
• Experience across model development, testing, recalibration and documentation.
• Ability to explain complex modelling methodologies to technical and non-technical stakeholders.
• Experience with both retail and corporate IRB models would be advantageous, although not essential.

IRB Credit Risk Modelling IRB Model Development Loss Given Default (LGD) Probability of Default (PD) Retail Credit Risk Corporate Credit Risk Statistical Modelling Model Calibration Model Development SAS, SQL R, Basel III PRA EBA CRR Credit Risk Analytics Stress Testing IRB Slotting Regulatory Compliance Retail Banking