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Senior IRB Analyst

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Senior IRB Analyst

  • Homer Road, Solihull

Business Area: Group Finance


Brief description

This role is an exciting opportunity to join the Modelling team within the Group’s Finance division. The business has recently started work to transition towards calculating the Group’s regulatory capital under IRB regulation and this role provides an opportunity to play an integral part from the outset. The team will be responsible for development of the Loss Given Default (LGD) models and accompanying statistical analysis for all asset classes.
If you have experience or knowledge of PD, EAD and LGD modelling in a mortgage environment (Buy-to-Let, Residential and Second Charge Mortgage lending) coupled with strong data modelling and analytical skills across the full account life cycle, then we would like to hear from you.

Purpose of the role

Working closely with the Head of IRB LGD Modelling and the Director of IRB the purpose of the role is to lead and support the development of LGD models, together with the necessary data, model, validation, production and monitoring framework in line with the requirements under IRB for mortgages and consumer lending.

In addition, the role will work closely with Credit Risk to independently review and support the delivery of PD models to ensure a successful transition to IRB.

Duties & responsibilities
Skills
  • End to end development of IRB LGD models, including data collection, statistical modelling and monitoring performance of the model.
  • Research and interpretation of the IRB regulatory guidelines as laid down by the PRA, to ensure the models are compliant.
  • Presentation of models and outputs to the Group’s internal governance committees for approval and sign off.
  • Creating and producing the regular monitoring of the stability and accuracy of the models, highlighting adverse changes and proposing remedial action plans.
  • Producing in-depth documentation of the models to meet the required regulatory standards and input in the governance framework to obtain committee sign-off
  • Implementing the models into the live environment in a manner that is consistent with the development objectives, ensuring accuracy and timeliness of the calculation of the outputs. 
  • Ensuring data integrity, documentation, validation, stability and controls are in place for all data elements used within the modelling and live production of the model outputs.
  • Working closely with the Credit Risk department and other stakeholders to support development and validation of the PD models.
  • In-depth knowledge and understanding of general statistical modelling
  • Strong data analysis background
  • Modelling experience using SPSS, SAS or SQL
  • Excellent documentation skills
  • Excellent verbal and written communication skills
  • Ability to work independently and, at the same time, communicate effectively to support the wider project team

Qualifications and experience

Educated to degree level with a minimum of 2:1 in mathematics, statistics or equivalent numerical based discipline.  Previous experience working within a UK banking or financial services environment and proven experience in data modelling and analytics across the account life cycle essential.

Working hours

37.5 hours per week, Monday to Friday, 8.30am to 5.00pm (one hour for lunch).

Training

Relevant training will be provided.

Paragon Banking Group PLC.  Registered in England number 2336032.  Registered office 51 Homer Road, Solihull, West Midlands  B91 3QJ.