IRB Reviewer

This contract with our central government client is for a IRB Reviewer for 12 months initially. The role is located in London and requires around 2 days per week onsite.  

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 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 partners.  

As a directorate, Supervisory Risk Specialists (SRS) provides technical expertise and applies expert judgement across risk disciplines as part of their integrated supervisory approach, in order to identify, analyse and mitigate material risks to the safety and soundness of their regulated firms. SRS comprises five divisions:  

• Credit, Risk, Analytics, Liquidity and Capital (CRACL)  

• Investment Banking and Sector Risks (IBSR)  

• Model Development and Review (MDRD)  

• Operational Risk & Resilience (ORRD)  

• Sector Resilience Division (SRD)

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 their retail or wholesale credit risk function.  

• Good knowledge of the main techniques used in the stress testing of credit risk capital requirements.