Job Description
I’m currently recruiting on behalf of a specialist Internal Audit team in a large global bank who are looking for a IRB model SME. With the Basel 3.1 changes upcoming, the team is looking an IRB SME who can Audit IRB models ahead of regulator submission. You do not need to have Internal Audit experience and could have gained experience through 1st or 2nd line roles
The successful candidate will join a newly forged team that focuses on IRB models but will also get involved in other areas of Model risk audit. The role has genuine progression opportunities in 1st, 2nd or 3rd line teams and will be working very closely with the UK CEO and other senior stakeholders. The team is also highly valued by the regulator
The role
You will support audit reviews across model methodology, governance, controls and regulatory compliance, with a particular focus on IRB models including PD, LGD and EAD. The work includes reviewing self assessment templates and supporting documentation linked to regulatory submissions, as well as broader thematic audit work across model risk.
You will be engaging closely with stakeholders across Model Development, Validation, Model Risk and Regulatory Reporting, while also contributing to audit planning, risk assessment and the delivery of well evidenced audit findings.
Key areas of focus
* IRB credit risk models including PD, LGD and EAD
* Model governance, controls and documentation
* Validation reports and model performance monitoring
* Data quality and regulatory compliance
* Basel 3.1, CRR and PRA model risk expectations
* Thematic model risk audit work across the model lifecycle
What we are looking for
* Experience in IRB Model Validation, Model Development, Model Risk Management or Internal Audit with a quantitative focus
* Good understanding of IRB credit risk models and regulatory expectations
* Familiarity with Basel 3.1, CRR and PRA guidance such as SS1/23
* Strong analytical skills and the ability to interpret complex technical documentation
* Clear communication skills and the confidence to work with senior stakeholders
* Prior exposure to regulatory submissions, model assurance or risk reviews would be highly beneficial