• 6 years+ of credit modelling experience with advanced SAS or SQL.
• Statistical backgriund with credit modelling experience.
• IRB experience and advantage but not essential.

This role is in the IRB (Internal Rating Based Approach) Model Development Team in Risk Analytics. They are responsible for the design and delivery of predictive credit risk measurement models relating to the Bank's Pillar 1 capital PD, LGD and EAD models. These models are used to determine the level of risk associated with individual borrowers, and drive the determination of the Bank's regulatory capital requirements. The team is currently undertaking a multi-year redevelopment of all IRB models followed by the rollout of new IRB models, which represents a key strategic objective for the bank. The role involves working closely with our colleagues across the Business, Credit Risk and the Chief Data Office.

This role reports into the Head of Specialised Lending IRB Model Development, and will play a leading role in the re-development of existing and new IRB models for specialised lending under the banks' IRB rollout plan. You will work alongside teams based in the UK and in Dublin.

Summary of role:
We're looking for someone who would be interested in:

• Development of models to support business decision making, risk management and estimation of regulatory capital requirements in line with internal development standards and policies. This includes Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models;
• Managing a team of quantitative analysts
• Engaging with customer facing Business teams and leading workshops to understand how our analytic outputs can support their decision making.
• Extracting, transforming, and cleaning the data required for modelling and analysis purposes;
• Engaging with regulatory bodies as part of the on-going cycle of regulatory review of our models
• Contributing to the standards, methodologies and toolsets required to perform analytic activities;

The key accountabilities/responsibilities are as follows:

• Predictive model development: Take a leading role in building predictive models that are focussed on impacting core business elements, such as automated decisions, capital requirements and loss expectations;
• Leadership: Manage a team of quantitative analysts, coaching them in the development of technical skills as well as demonstration of core behavioural competencies;
• Analysis & investigation: Undertake and guide junior quantitative analysts in various complex data analyses, investigations and/or modelling of business issues to improve the management, services and products of the bank;
• Digital protection: Access/utilise bank data within the policies and frameworks required by AIB;
• Expert advice: Provide specialist advice to the business with an emphasis on the impact and application of risk management requirements;
• Risk segmentation analysis: Creating segmentations that allow us to better understand the risks present in our lending portfolio and what we can do to better manage the risks;
• Stakeholder engagement: Work with stakeholders across the Business, Finance and Risk and act as a conduit for delivering solutions to business problems.

Posted Date: 29 Apr 2024 Reference: JS605326 Employment Agency: Exalto Consulting Contact: Adrian Prodger