Head of Model Execution, Monitoring and Reporting
Context for the Role
The Head of Model Execution, Monitoring and Reporting is a role up within one of the fastest growing specialist banks in the UK and purpose built to meet the increasing demand for specialist mortgages and savings through innovative products, exceptional value and great service.
Reporting directly to the Director of Models and Ratings, the role holder will be responsible for developing the model execution, monitoring and reporting processes. This is for the Bank’s IFRS 9 model suite and will subsequently be required for the Banks Capital, Forecasting and Stress Testing models.
The IFRS 9 programme delivered models and an execution process at the end of 2017. Going forward the IFRS 9 execution, improvements and maintenance are required from January 2018 as part of the adoption of the new accounting standard.
The Bank is embarking on an IRB programme, which involves development of the scoring methodology already in place to build Basel-compliant IRB models and a ratings system to assess credit risk profile and capital assessment across the banks’ mortgage portfolios. This will need to reflect the banks’ growth plans and potential product and market diversification.
In addition, the IRB programme will be setting up a governance framework, including model and ratings system control, data management, performance documentation and regulatory compliance with the PRA’s IRB standards and requirements. The role holder will be expected to own and drive components of this and hold a relationship with the PRA and other regulatory bodies. The role holder will need to manage these relationships with professionalism, competence and diplomacy, providing suitable confidence and assurance to the regulator and the Board.
The jobholder will be working closely with the Risk and Finance teams to play an integral role in the assessment, analysis and planning of capital and respective contribution to the banks’ ICAAP and financial planning process and using the IRB approach to augment the firm’s stress testing framework.
Regular reporting to the banks’ business, executive and Board committees will form an important part of the job, presenting on IRB model, IFRS 9 model and rating system performance, outputs, portfolio intelligence and credit and capital risk metrics.
The job will entail setting up and evidencing use and application of IRB appropriately across the organisation to ensure proper use of the methodology and ratings outputs.
Separately, the role involves leadership of Model Execution, Monitoring and Reporting team and overseeing consultant and contractor deliverables.
The role will, therefore, require a mixture of technical understanding of quantitative analysis, model and systems build and development, specialist knowledge of IRB and its practical application, strong design and implementation skills and team leadership.
Finally, the jobholder will be expected to communicate clearly, regularly, effectively and meaningfully at the most senior level of the organisation and to frequently engage positively with the Board and its committees.
Key Skills and Experience
- A level or equivalent
- Specialist Degree (Mathematics, Computer Sciences) at 2:1 at least from Russell Group or ‘Global Top 100’ recognised university
- Advanced mathematical, modeling and quantitative analysis skills
- Extensively skilled in the use of software and data management solutions consistent with credit risk model build and development (for example WPS, SAS, SQL, R)
- Experience of Working first hand with the PRA, specialist external consultant on matters relating to IRB and IFRS9
- Desirable: Working closely with a bank’s executive and board committees and writing and presenting material effectively
- Interacting with people at all levels in a financial services organisation Essential Working in an IRB environment/IFRS9 project in a management or model implementation role
- Working effectively with Internal and External Audit
- Desirable: Working in a financial services or risk
- environment Essential Sound experience of IFRS9 and IRB Regulatory framework, requirements and application across a business
- Managing a team of coding experts, quantitative analysts and data experts Essential Working successfully with an IT function (particularly in relation to IRB models, IFRS 9 models and systems)
- Desirable: Knowledge & Skills Advanced use and application of data modelling and data analysis software: specifically SAS, WPS or similar
- Excellent implementation and execution skills of model processes
- Excellent IT skills: of Microsoft Word/Excel/PowerPoint/Visual Basic
- Excellent verbal and written communication skills Essential Up to date knowledge of FCA requirements and Regulatory Framework relevant to role
- Presentation skills
- Detailed knowledge of IRB Regulatory framework, requirements and its application across a business
- Knowledge of how to build, test, monitor and validate ongoing IRB models and associated statistical techniques
- Personal Attributes Ability to priorities tasks and manage time effectively
- Flexible approach and attitude
- Work as part of a team
- Leadership skills: specifically leading and managing specialists, quantitative analysts and data programmers and modelers
To be accountable directly to the Director of Models and Ratings for the design and build of the execution process for Basel, PRA and International Accounting Standards (‘IAS’) Board compliant IRB and IFRS9 models;
To support the wider implementation and embedding of such models across the organisation and provide expert assistance to ensure practical use, application and documentation and proof of the same;
To be accountable to the Director of Models and Ratings to ensure the organisation obtains and maintains its IRB status and IFRS9 compliance; that the models and rating system are fit for purpose; and can be relied upon to accurately assess capital and IFRS9 reporting requirements for credit risk and impairment modelling;
Through model execution, reporting and analytics, support an informed view of the credit profile of the bank, potential impairments and support the stress testing of the same, particularly as it relates to potential losses and capital consumption assessment and planning;
To support provision of assurance to the Director of Models and Ratings; the CRO and relevant Executive Risk committees; Board committees; and the Board that the requirements for an IRB firm and IFRS9 are being met and that the models and rating systems are being executed and controlled to a high standard;
To be the Models Execution and Reporting team leader, supporting the development of the function within the Models and Ratings team and the management and growth of individuals;
Lead the design and build of IRB and IFRS9 system, execution and data framework(s);
Support the Models and Ratings Director with definition of the overall approach and direction for material aspects of the firm’s model and rating systems’ execution and maintenance approach and ensure the approach is approved through proper governance channels;
Support the Models and Ratings Director with the provision of the necessary reporting and support activities to ensure risk committees and the board and board committees receive relevant timely, high quality and relevant data, MI and reports – particularly on model execution, effectiveness and affirmation of IRB and IFRS9 standards;
Cooperate and support any independent model validation function and enable its duties to be carried out in accordance with regulatory requirements, providing regular reports, analysis and management information to support its activities;
Support the Director of Models and Ratings to ensure relevant controls are in place to assure model and data integrity, systems methodology performance and adequately test material changes;
Implement new models and material changes as appropriate, supporting approval through proper governance channels with the required testing completed and impacts identified and assessed;
Support the Director of Models and Ratings in providing assurance that the ratings system and methodology is applied and executed correctly across various market segments and remain valid and appropriate for any distinct asset classes – for both existing product and customer types and for any identified potential new ones;
Exercise proper and visible diligence over identifying model deficiencies and proposing actions to address performance and fitness for purpose issues;
Support adherence to the regulatory requirements and compliance with the firm’s specific IRB permission and IFRS9 reporting standards;
Support Internal Audit, at least annually, in reviewing the firm’s rating system;
Work with colleagues in the Models and Ratings team to help define general governance and model risk framework over the ratings system including deficiency management; internal staff guidance on usage; highlighting of inappropriate applications of outputs; and systems stability;
At least annually, support the Director of Models and Ratings and CRO in the provision of a detailed report to MRC covering a review of the performance of the model validation function and address any weaknesses or shortfalls;
Oversee components of the overall model design, specifically technical design and IT related material and components and adopt responsibility for proper documentation;
Work effectively, supportively and in a leadership capacity with the IT and systems team to ensure IRB models, IFRS 9 models and rating systems are meeting the required regulatory standards and comply with internal IT and data related framework, polices and protocols;
Support the Director of Models and Ratings and CRO in embedding of the model governance approach into the wider Risk Governance framework;
Generally support the CRO, Director of Credit Risk and Director of Models and Ratings in the provision of reporting, MI as necessary to ensure Credit Risk Committee, Risk Management Committee, MRC, Board Risk Committee and the Board are furnished with high quality rating system and model outputs and reports;
Support the Director of Models and Ratings, the CRO and the CFO in managing the relationship with the Auditors and supporting any audit of models and the associated model lifecycle, specifically supporting in the model performance monitoring, control framework and;
Act as a strong and effective leader within the Models and Ratings team and manage in a manner so as to support HR values and organisational aspirations and development of people, including robust performance management, coaching and adherence to laid down protocols.