Bailey & French | IRB Model Development Senior Manager

Job Title: Wholesale IRB Model Development Consultant (Quantitative Credit Risk)

Location: Remote but office is in London

Type: Full-time

Department: Quantitative Credit Risk, Risk Management

Reports To: Director of Quantitative Risk Management / Head of Risk Consulting

Job Overview:

We are seeking a highly skilled and motivated consultant to join our team, focusing on the development and validation of Internal Ratings-Based (IRB) models. As part of our Quantitative Credit Risk team, you will work closely with financial institutions, providing expertise on the development, calibration, validation, and implementation of IRB models in line with regulatory requirements. This role demands a deep understanding of wholesale credit portfolios, statistical modeling techniques, and regulatory frameworks such as Basel III/IV.

Key Responsibilities:

IRB Model Development:

• Lead the development of IRB models for wholesale credit exposures, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
• Implement model calibration and backtesting methodologies to ensure accuracy and robustness.
• Apply advanced statistical and econometric techniques to enhance model performance and predictive power.

Regulatory Compliance & Documentation:

• Ensure all models are compliant with regulatory standards, including Basel III/IV and local supervisory guidelines.
• Prepare detailed model documentation, including methodology, assumptions, and results, to support model approvals by internal governance and regulatory bodies.
• Engage with regulators during reviews and provide necessary justifications and analyses to address feedback.

Model Validation & Risk Analytics:

• Collaborate with validation teams to independently review and challenge model assumptions, methodologies, and performance.
• Perform stress testing and sensitivity analyses to assess the impact of various risk factors on the models.
• Work with internal audit and regulatory teams to ensure models meet all validation and audit requirements.

Stakeholder Engagement:

• Provide expert advisory services to clients, including banks and financial institutions, regarding their IRB modeling framework and regulatory reporting obligations.
• Collaborate with business, risk management, and IT teams to ensure seamless integration of models into systems and processes.
• Lead or contribute to workshops and training sessions for clients on model development, risk management, and regulatory compliance.

Continuous Improvement:

• Stay updated on evolving regulatory requirements and advancements in risk modeling techniques.
• Contribute to the development of best practices in wholesale credit risk modeling within the consultancy.

Required Qualifications and Skills:

Education:

• Master’s or Ph.D. in Quantitative Finance, Economics, Mathematics, Statistics, Engineering, or a related quantitative field.

Experience:

• 8+ years of experience in quantitative risk modeling, with a focus on wholesale credit risk and IRB models.
• Proven track record of developing, validating, and implementing IRB models within large financial institutions or consultancies.
• Strong knowledge of Basel III/IV regulatory framework and experience working with global regulators.

Technical Skills:

• Proficiency in statistical and data analysis software such as R, Python, SAS, or MATLAB.
• Strong understanding of advanced statistical methods, econometrics, and machine learning techniques.
• Experience with database management and query tools (e.g., SQL).

Soft Skills:

• Excellent communication and presentation skills, with the ability to convey complex quantitative concepts to both technical and non-technical stakeholders.
• Strong problem-solving skills and the ability to work both independently and in a team-oriented environment.
• Strong project management and organizational skills with the ability to meet tight deadlines.

Preferred Qualifications:

• Prior experience working in a consultancy setting or with multiple financial institutions.
• Familiarity with automation of model development and validation processes.
• Knowledge of cloud-based data infrastructure and analytics tools.

Compensation:

Fixed salary ranging from £100k-£140k depending on experience