Head of IRB Model Development

About the job Head of IRB Model Development

Head of IRB Model Development

Responsibilities

Define the strategic vision and roadmap for the modelling of regulatory and economic credit risk capital.

Lead and mentor a high-performing team of risk model developers and quantitative analysts, fostering a collaborative environment and promoting continuous professional development.

Develop, maintain, and implement a comprehensive regulatory and economic credit risk capital model development framework in line with the Prudential Authority's (PA) regulatory requirements, internal policies, and industry best practices.

Ensure appropriate design and development of credit risk models, including:

Probability of Default (PD)

Exposure at Default (EAD)

Partner with key stakeholders across The Company to ensure alignment of model design and performance with business objectives and ...