Job Description
Due to huge growth at one of Ireland's pillar banks it has been decided that a change of structure was needed. Resulting from that this newly created role is to lead a team that will be solely focused on developing non-regulatory models – that is commercial models that serve to add value rather than being required by regulation.
The logic being to have a team that is in a more dynamic cycle that will focus on the models that can go live quickly and have an impact almost immediately.
So, what models would you be focused on developing? There’s been an acknowledgement internally that for non-regulatory application scorecards, generally a wide scale refresh is probably in order and really just to help improve on the risk ranking of credit decisions across all credit areas.
A major focus will also be using more effective predictive models to reduce redemptions – basically customers switching to rivals. The view here that this effectively constitutes a credit risk – when you’re losing these types of ‘low risk’ customers what’s left in the portfolio essentially becomes a riskier profile.
Another big area of your focus will be on more advanced propensity modelling basically to understand the actions of prospective customers the bank has engaged with. You’ll also be tasked with looking at how the current outputs of regulatory can be used in pricing and greater efficiency in the setting of loan rates.
Obviously, this is a sizeable challenge to take on but with that in mind, you will have significant resources at your disposal. This being 2 managers reporting directly to you and 5 modellers underneath that.
Your Core Responsibilities
- Lead the design and development of new commercial models in the areas of application scorecards, early warning models, pricing models, redemption rate analysis and macro-economic modelling.
- Deploy test and learn strategies within the Bank’s internal decision engine alongside in-depth monitoring and optimization of ECL and RWA as pertains to new business.
- Provide thought leadership on the model environment as pertains to model limitations, key risks and appropriate segmentation to ensure models meet business requirements.
Requirements for this Role
- Expertise in statistical techniques (such as regression, cluster analysis, principal component analysis, experimental design, etc.).
- Have several years’ experience in a risk modelling (or comparable) environment.
- A degree in a Mathematical/ Statistical/ Computer Science or associated discipline.
- Solid understanding of all retail products (Cards, Loans, Current Accounts, Mortgages) and channels.
Experience in SAS although not essential would be advantageous.
Please do send on whatever version of your CV you have at hand and would be happy to have a call to discuss in more detail from there.
About Our Client
Retail Bank
Remuneration
€100-125k | Pension 12-15%
