An established UK bank is seeking an experienced IRB Credit Risk Modeller to join its Credit Risk Modelling function.
This is a hands-on technical position focused on developing, implementing and maintaining Internal Ratings-Based (IRB) credit risk models across the bank’s lending portfolios.
Key Responsibilities
- Lead end-to-end IRB model development and implementation.
- Develop and enhance credit risk models, including Probability of Default (PD), Loss Given Default (LGD), retail scorecards and corporate credit risk models.
- Support specialised property lending (IRB slotting) and stress testing methodologies.
- Assess modelling data requirements, quality and availability, particularly around recoveries, collections and collateral.
- Conduct annual model reviews, recalibration and ongoing model testing.
- Contribute to regulatory IRB self-assessments and take ownership of remediation activities.
- Produce technical model documentation and present methodologies and findings to senior stakeholders and risk committees.
- Provide technical guidance to junior colleagues.
Requirements
- Strong hands-on experience developing IRB credit risk models within banking or financial services.
- Good knowledge of IRB regulatory requirements, including PRA, EBA and CRR.
- Strong statistical modelling and analytical skills.
- Practical experience with SAS, SQL or R.
- Experience across model development, testing, recalibration and documentation.
- Ability to explain complex modelling methodologies to technical and non-technical stakeholders.
- Experience with both retail and corporate IRB models would be advantageous, although not essential.
The Opportunity
This position offers significant technical ownership across the IRB model lifecycle, combining hands-on quantitative development with regulatory responsibilities and senior stakeholder engagement.
It would suit an experienced IRB Model Developer, Senior Credit Risk Modelling Analyst or Quantitative Credit Risk Specialist looking to take greater ownership of complex modelling work.
IRB, Credit Risk Modelling, IRB Model Development, Loss Given Default (LGD), Probability of Default (PD), Retail Credit Risk, Corporate Credit Risk, Statistical Modelling, Model Calibration, Model Development, SAS, SQL, R, Basel III, PRA, EBA, CRR, Credit Risk Analytics, Stress Testing, IRB Slotting, Regulatory Compliance.
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