Job Details

Head of Corporate Credit Risk & Stress Models, (Dir), LDN

London, United Kingdom, Permanent

Posted: 13 hours ago


Wholesale Credit Risk Models (IRB, IFRS9) & Stress testing, PRA/Regs, PD, EAD, LGD


  • Upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.
  • Assess the downstream impact of models to understand its network risk.
  • Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented
  • Understand Model related uncertainty risk including data, regulatory, business strategy, market, competitive landscape, system, environment, and others to ensure model sponsors
  • Represent the model users and ensure all the model use cases are considered within the model life cycle activities
  • Taking the lead in developing the end-to-end model solutions
  • Coordinating the submission of the model for validation, and submission of the approval package for consideration
  • Coordinating the model implementation, model performance monitoring and model decommission


  • 10+ years of experience building wholesale credit risk models (IRB, IFRS9 and stress testing
  • Experience of having your models reviewed by the PRA.
  • Substantial PD/EAD/LGD model development experience in the Corporate, Institutional, and Commercial book.
  • Awareness and thorough understanding of the regulatory framework in which the firm operates
  • Good knowledge of banking risk management, a knowledge of Basel/CRR/EBA/IFRS9.
  • Understanding of Corporate, Institutional, and Commercial portfolios and products will be ideal.
  • Strong people leadership to lead team and to influence stake holders.

Job Details

Full Time
London, United Kingdom