Granard Consulting
Senior IRB Credit Modeller
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Senior IRB Credit Modeller (IRB, PD, LGD & EAD)
Contracting role (3-6 month rolling contracts) with a Financial Services company via a Consultancy paying up to £700 - £900 per day (Umbrella Co or Ltd Co), this is a hybrid role in London (3 days per week in the office.)
Summary of the role:
We are seeking an experienced Senior IRB Credit Modeller to lead the development, enhancement and governance of mortgage credit risk models. The role is responsible for developing and refining IRB risk parameters (PD, LGD and EAD), overseeing model lifecycle management, and ensuring compliance with UK PRA Basel 3.1 requirements. The successful candidate will partner closely with Credit, Business and Risk stakeholders to ensure robust model performance and effective implementation within credit risk framework.
As part of your duties, you will be responsible for:
- Develop and refine IRB credit risk parameters (PD, LGD and EAD) across mortgage portfolios.
- Collaborate with colleagues in the development of retail and non-retail credit risk models.
- Oversee the full model lifecycle including scoping, data review, stakeholder engagement, documentation and governance approvals.
- Conduct annual model reviews, calibrations, back-testing and performance analysis.
- Identify and remediate model deficiencies and performance issues.
- Research, design and implement best-practice credit risk methodologies aligned to PRA Basel 3.1 standards.
- Partner with Credit, Business and support functions to drive understanding and adoption of models.
- Produce high-quality documentation and governance materials.
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Qualifications and experience we consider to be essential for the role:
- Bachelor’s or Master’s degree in a highly quantitative discipline such as Mathematics, Statistics or Economics.
- Approximately 12 years of relevant experience in credit risk modelling.
- Significant experience estimating IRB parameters for mortgage portfolios under PRA regulations (preferred) or EBA frameworks.
- Experience leading projects or workstreams within a credit risk modelling environment.
- Strong coding capability in SQL and/or Python, or willingness to develop these skills.
- Strong understanding of IRB regulatory requirements and model governance.
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Skills and personal attributes we would like to have:
- Exceptional analytical and problem-solving abilities.
- Ability to interpret complex datasets and present findings clearly to diverse audiences.
- Strong verbal and written communication skills.
- High-quality documentation and stakeholder management capability.
- Ability to work independently and collaboratively within a team environment.
- Continuous learning mindset and adaptability to new challenges.
Sponsorship isn't being offered with this position, please only apply if you have the right to work in the UK.
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