Senior Modelling Analyst – Models and Ratings

Euro Staff Group Published: 4th April 2018
Location
London, United Kingdom
Job Type
Category
Salary
To be decided
Preferred Academic Qualification
BSc, BA

Description

Role Purpose and Key Accountabilities

Overall Objective:

To provide analytics, model development and reporting duties for the Models and Ratings team. Specifically supporting the development and maintenance of the regulatory compliant rating system used for the Internal-Ratings Based (‘IRB’) approach, compliance with the International Financial Reporting Standard 9 Financial Instrument (‘IFRS9’) rules and other models used by the business across the customer life-cycle.

Generic Accountabilities

 Ensure that you understand, maintain an awareness of and comply with regulatory requirements, risk management policies and behave in a competent and ethical manner in line with workplace culture, values and ‘Treating Customers Fairly’ principles.
 Ensure that you comply with the Financial Conduct Authority’s (the “FCA”) and Prudential Regulation Authority’s (the “PRA”) individual conduct rules, principles or any applicable regulators’ rules from time to time in force.
 Ensure that team members fully understand and comply with the organisation’s Risk Management Policies as they relate to their area of responsibility and demonstrate in their day to day work that they put customers at the heart of everything they do.
 At all times:
 promote fair outcomes for the organisation’s customers and customers of its clients with a view to ensuring that the ‘customer journey’ is considered in day to day operations;
 apply the firm’s policies and procedures, and
 adhere to ‘Our Values’.
 Fully understand and comply with the organisation’s Risk Management Policies as they relate to your area of responsibility and demonstrate in your day to day work that you put customers at the heart of everything you do.
 Ensure that you and your team members have the relevant skills, knowledge and expertise to enable you/them to discharge their responsibilities in a competent and ethical manner.

Adhere to and encourage teams to adhere to and embed ‘Our Values’:

Respect: Treat customers and colleagues with the same respect you would expect to receive. Behaviour which may cause offence or discomfort to either colleagues, customers or when representing Exact or Precise Mortgages, is unacceptable.

Excellence: Deliver consistently high service. We will support you to perform your role and encourage you to aspire to be excellent for which you will be rewarded in a variety of ways. We have a can do attitude.

Attention: Take time to pay attention, listen and build knowledge during any contact and recommend improvements wherever possible. Be helpful.

Challenge: Be curious, challenge unfairness, never accept average and always look for new solutions to improve things.

Honesty: Act with honesty and integrity in the workplace, championing good practice at all times.

Job Purpose and Specific Accountabilities

 To be accountable directly to the Head of Models and Ratings for the design and build of Basel, PRA and International Accounting Standards (‘IAS’) Board compliant IRB and IFRS9 models;
 To support the implementation 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 Head 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;
 To support Risk in providing 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 provide analysis to support the assurance that the requirements for an IRB firm and IFRS9 are being met and that the models and rating systems in place are performing in accordance with expected standards and outputs;
 To be a part of the Models and Ratings team, and helping to develop the function within Risk.
 Undertake analysis and model development for IRB, IFRS9 and other Bank models. Ensuring the models differentiate properly by asset class as they relate to the initial assessment, decision-making, application processes, behavioural monitoring processes and loss given default (‘LGD’) outputs to deliver a suite of models which are capable of delivering accurate Expected Loss (‘EL’) for the portfolio and cohorts;
 Undertake research and analysis on the guidance of the Head of Models and Ratings, to deliver on CCFS’ data requirements and stress testing scenarios, as needed to develop IRB and IFRS9 compliant models;
 As directed, undertake the necessary reporting, analysis 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 effectiveness and affirmation of IRB and IFRS9 standards;
 Undertake the ongoing IRB and IFRS9 ongoing model validation, improvement and maintenance on the direction of the Head of Models;
 Accommodate 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 in the operationalisation of the relevant controls to assure model and data integrity, systems methodology performance and adequately test material changes;
 On the direction of the Head of Models, develop new models as appropriate and material changes to existing models and ensure these are approved through proper governance channels with the required impacts identified and assessed;
 Providing reports and analysis to the Head of Models and Ratings, supporting the assurance that the ratings system and methodology is applied 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;
 Under the direction of the Head of Models and Ratings, execute remediation to any model deficiencies and set up 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 and implement 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 Head of Models and Ratings 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;
 Support the Head of Models and Ratings in model design (including technical design and IT related material and components), methodology, key components and governance and adopt responsibility for proper documentation;
 Support the Head of Models and Ratings in embedding of the model governance approach into the wider Risk Governance framework;
 Generally support the CRO, Director of Credit Risk, Director of Models and Ratings and the Head 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 Head of Models and Ratings, 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;
Strategy and Delivery
 IFRS9 is an important regulatory project and IRB is a key strategic project, such that they are included as key objectives of the performance plan of the CFO and CRO respectively; This role is, therefore, crucial in supporting successful delivery of key projects and execution of CCFS strategy
 The role requires the ability to investigate and analyse root causes, patterns or trends and assist in the identification and implementation of risk mitigation action where appropriate;
 Support to CCFS Management in its development and strategic pursuit of various asset classes as appropriate, actively assisting the business in considering and developing the practical use of credit and capital rating models and systems;
 Support to CCFS Management in its analysis of any portfolio acquisition opportunities, such that the capital, credit and impairment forecasting profiles of any purchases can be modelled and used practically and swiftly to assist management in defining fair value and in price negotiations.

Risk Management
 To ensure that policies and procedures and fully complied with (particularly those policies related to credit risk, data and IT risk management), and that all communications with customers and external parties take into account up to date legislative and regulatory responsibilities;
 To ensure that fair treatment of customers is considered in all communications with customers to compliment the TCF strategy;
 Establish and maintain a controlled and auditable framework, ensuring a robust analytical environment is in place and is consistently applied across the business;
 Provide support to management in the identification of business risks created by resource and technical limitations. Be proactive in presenting solutions and mitigations to risks identified.

Communicating and Reporting
 To maintain effective communication with the Director of Models and Ratings to ensure the role holder is fully informed of and keep abreast of operational objectives;
 The role holder must own, deliver and comply with operating objectives and standards of performance;
 Openly communicate with the executive, leadership and risk colleagues to ensure IFRS9 developments and plans and the IRB status and methodology is understood, supported and adopted;
 As and when required, attend and present to key business and risk committees: IFRS9 Project Board; Credit Management Committee, Capital Risk Working Group; Models and Ratings Committee; Risk Management Committee; Audit Committee and ALCO in particular;
 Provide material for and present to MRC, Board Risk Committee and Board as required;
 Ensure reports are developed and maintained to excellent standards and a high level of accuracy and usability for internal and external purposes across the business;
 (As requested) assist in producing the CRO’s monthly Board reports, quarterly Board Risk Committee pack and MRC;
 Maintain strong links with credit risk team, analytics teams, project and change teams and Finance and IT to build knowledge reciprocity.

Culture
 Ensure the organisation and its mission, programs, products and services are consistently presented in a strong, positive image to relevant stakeholders;
 Promote and support a culture that values diversity in its workforce and demonstrates equality of opportunity and fairness in its treatment of staff, customers and in all aspects of its business;
 Maintain strong relationships with clients and other associated third parties as required;
 Champion across the business support for the IRB concept, objectives and business and regulatory requirements to ensure an understanding, where appropriate, of IFRS9 and IRB purpose and value to the organisation.

External Stakeholders
 This role requires regular and detailed engagement with external partners and suppliers, namely: PwC, Experian, consultancy firms either from the ‘Big 4’ or boutique specialist firms that will provide independent model validation;
 Probable meetings with the Bank of England PRA (specialist and supervisory teams).

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