- The role involves a significant amount of complex modelling to build, code, enhance and take full ownership of the bank's provisioning models and calculations under both IAS39 and IFRS 9 and the bank's Basel III regulatory capital models and calculations for internal analysis and for the preparation of the Internal Capital Adequacy Assessment process (ICAAP). The candidate will be expected to have a strong background in IRB capital modelling (PD, LGD and EAD), a high level of literacy and a sound knowledge of IFRS 9 and provisioning. Deliverables will require proposals to deliver solutions to improve capital and provision models, methodologies, reporting and the overall capital and impairment frameworks.
- Responsibilities will require significant quantitative analysis and development but will also need to take a top level strategic view in order to assess and analyse existing processes and benchmark against regulatory expectations and best practice comparative to business size and complexity.
- The individual will be expected to monitor changes in the regulatory environment and to interpret the PRA's rules and requirements and advise senior managers around regulatory treatments and issues. There will be heavy interaction with Group Finance, PF Group and senior stakeholders to ensure that the bank meets all deadlines and regulatory requirements.
- The candidate will be required to have a strong knowledge of SAS and in general strong computer literacy especially with Excel.
- There is an overarching responsibility to understand and evaluate additional risks that arise as the Bank grows and launches new products and services.
- Maintain, enhance, redesign and calibrate the Basel II IRB credit risk models (e.g. PD, EAD, LGD) and forecasts for the bank.
- Build and/ or lead the development and delivery of a suite of credit risk models for new asset classes, international programmes or for ad-hoc projects within the Group.
- Prepare the Bank ICAAP and supporting presentations for Group, Board and the Risk Committees.
- Research, propose and deliver solutions to improve capital methodologies, capital reporting and the overall risk framework.
- Code, interpret and run regulatory models and capital requirement calculations on a monthly and ad-hoc basis and provide recommendations and solutions based on analysis.
- Maintain and enhance credit risk capital reporting, monitoring, governance and procedural documentation.
- Monitor international and UK regulatory changes, review relevant discussion/ consultation papers, assessing the impact and driving it through relevant review/ discussion processes.
- Develop model validation, internal controls, procedural documentation and model monitoring, liaising with external auditors for review as required.
- Collate and generate inputs (including operational risk assessments) from the business for the ICAAP and quality assure the Group ICAAP document.
- Manage the bank's ICAAP stress testing process and contribute into relevant scenarios and stress tests.
- Research, design, propose and build alternate/ enhanced stress testing models (including parameter level scenarios).
- Conduct analysis and recommend on potential and forecast dividend payment to Group.
- Conduct ad-hoc analysis and prepare papers of a high standard for Board and Risk Committee.
- Secretary of the Finance Prudential Model Committee.
- Build relationships with business stakeholders.
- Build and contribute to any technological advances that will increase efficiency and reduce error across the capital process and within the Funding and Financial Risk Management team.
- Implement the new IFRS 9 Impairment model framework for the Bank.
- Maintain, enhance, redesign and calibrate the existing IAS39 provisioning models for the bank as required.
- Manage the production of monthly impairment results ensuring compliance with internal policy
- Meet regulatory requirements for impairment measurement and reporting (IAS, IFRS9)
- Research, propose and deliver solutions to improve provisioning methodologies and reporting
- Articulate technical results to a wide variety of non-technical stakeholders across both the Bank and the Group.
- Document and successfully obtain buy in from external auditors as required
- Manage one direct report responsible for assisting in the maintenance of the Bank's capital and provisioning frameworks.
- Support, coach, train and develop the team in the regulatory capital function and IFRS9.
Knowledge and Experience Requirements
- At least 5 years experience working with Basel II/III capital rules and regulatory capital
- Proven technical experience coding, interpreting and running Regulatory Capital calculations.
- At least 2 years experience building and developing Basel Models (EAD, LGD, PD, ELBE) and/ or at least 5 years experience in quantitative analysis.
- Material experience relating to IFRS 9, relating to calculating Impairment
- Moderate to Advanced Base SAS Programming capability.
- Advanced Excel
- Proven experience working with large data sets using SAS and/or SQL.
- Management experience.
- Relevant experience working with MI and designing and producing MI reports.
Please apply if you meet the criteria and are interested in the position. This is an Interim position for 12 months.