Job Description: Credit Risk Manager
We are seeking a highly skilled and motivated Credit Risk Manager. The successful candidate will be responsible for leading the development of retail credit risk models, focusing on IFRS 9 and IRB. This role will directly report to the Partner/Technical Director and will manage a team of Senior Consultants, ensuring high-quality delivery across client engagements.
Key Responsibilities
Lead the end-to-end development, enhancement, and maintenance of retail credit risk models (PD, LGD, and EAD) under IFRS 9 and IRB frameworks.
Oversee and guide the modelling team (Senior Consultants) to deliver regulatory-compliant, statistically robust, and business-relevant models
Ensure adherence to PRA, EBA, and Basel 3.1 requirements, addressing regulatory feedback and embedding best practices in model risk management
Conduct and review statistical analysis, back-testing, calibration, and monitoring of models to ensure accuracy and predictive power
Provide technical expertise in Python, SAS, and SQL for model implementation and review
Engage with stakeholders including regulators, model validation teams, and senior management to present methodologies, assumptions, and results
Drive innovation in modelling approaches, incorporating machine learning and advanced statistical techniques where appropriate
Ensure proper documentation of model development, governance, and monitoring processes
Contribute to thought leadership, training, and mentoring of junior team members to build modelling capability within the consultancy
Manage project plans, resources, and deliverables to meet client deadlines and internal quality standards.
Required Qualifications and Experience
Strong academic background, ideally MSc or PhD in a quantitative field (Mathematics, Statistics, Economics, Finance, or related discipline)
Proven experience in developing, calibrating, and validating retail credit risk models under IFRS 9 and/or IRB regulatory frameworks
Extensive knowledge of PRA and EBA regulatory guidelines for credit risk modelling
Proficiency in programming languages and tools such as Python, SAS, and SQL for data analysis and model development
Strong understanding of statistical methods including logistic regression, survival analysis, and machine learning techniques
Excellent stakeholder management skills with experience in presenting technical results to non-technical audiences, including regulators
Experience in mentoring or managing junior analysts or consultants in a modelling function
Ability to manage multiple projects simultaneously while maintaining high quality standards
Desirable Skills
Experience working within Tier 1 banks, challenger banks or consultancies
Exposure to climate risk, stress testing, and capital modelling frameworks (ICAAP, CCAR)
Knowledge of model risk management principles (e.g., SR 11-7, PRA SS1/23)
Track record of innovation in modelling approaches, including use of advanced analytics and automation
Reporting Line
This role reports directly to the Partner/Director and manages a team of Senior Consultants. The Manager will play a key role in ensuring the delivery of high-quality, regulatory-compliant credit risk modelling solutions to our clients