IRB Risk Senior Quantitative Analyst, London

The Risk Analytics Department is a central function within AIB with the remit to develop strong credit and financial risk measurement and decision-support throughout every aspect of our businesses and control functions. The outputs from Risk Analytics deliver optimal pricing for our customers, quick and convenient credit decisions, a safe lending and borrowing environment, and efficient use of our shareholders' capital with sustainable returns. In addition, the teams regularly carry out ad-hoc analysis and assessments to support the business and any regulatory considerations of the ongoing appropriateness of the models and their outputs.

This role is in the IRB (Internal Rating Based Approach) Model Development Team in Risk Analytics. They are responsible for the design and delivery of predictive credit risk measurement models relating to the Bank's Pillar 1 capital PD, LGD and EAD models. These models are used to determine the level of risk associated with individual borrowers and drive the determination of the Bank's regulatory capital requirements. The team is currently undertaking a multi-year redevelopment of all IRB models followed by the rollout of new IRB models, which represents a key strategic objective for the bank. The role involves working closely with our colleagues across the Business, Credit Risk and the Chief Data Office.

This role is in Specialised Lending IRB Model Development team and will play a leading role in the re-development of existing and new IRB models for specialised lending under the banks' IRB rollout plan. You will work alongside teams based in the UK and in Dublin.

What you will bring:

We're looking for someone who would be interested in:

• Development of models to support business decision making, risk management and estimation of regulatory capital requirements in line with internal development standards and policies. This includes Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models.


• Performing exploratory and ad-hoc data analysis to generating meaningful customer or portfolio insights.


• Contributing to the standards, methodologies and toolsets required to perform analytic activities.


• Extracting, transforming, and cleaning the data required for modelling and analysis purposes.


• Engaging with customer facing Business teams to understand how our analytic outputs can support their decision making., Analysis & Investigation: Undertake and guide junior data scientists in various complex data analyses, investigations and/or modelling of business issues to improve the management, services and products of the bank.


• Digital Protection: Access/utilise bank data within the policies and frameworks required by AIB.


• Predictive Model Development: Take a leading role in building predictive models that are focussed on impact core business elements, such as automated decisioning, capital requirements and loss expectations.


• Data Insights: Perform and guide junior data scientists in exploratory and ad-hoc data analysis, with a view to generating insights and using this to deliver actionable recommendations to the business.


• Expert Advice: Provide specialist advice to the business with an emphasis on the impact and application of risk management requirements.


• Risk Segmentation Analysis: Creating segmentations that allow us to better understand the risks present in our lending portfolio and what we can do to better manage the risks.


• Leadership: Mentoring and guidance for junior data scientists. Also there will be responsibility for reviewing work carried out by junior team members.
  
  1. 3 years' experience in a model monitoring, model development or model validation role. Examples include: IRB; IFRS 9; loss forecasting; stress testing or economic capital modelling; propensity modelling; or a combination thereof.

2. A bachelor's degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics. (Confirmation will be sought if successful for the role).
3. Ideally have advanced level of SAS or SQL programming - an equivalent level in an alternate programming language would be consider (e.g. R, Python, Matlab). Advanced experience in extracting, transforming, and cleaning data for modelling purposes.
4. Familiarity with data visualisation tools such as QlikView, Power BI, SAS VA or Tableau.
5. Strong ability to build relationships and communicate with key stakeholders; Curiosity and inventiveness. Good problem solving skills with capability to defend their decisions from challenge both on a technical and business front.

At AIB, we have a clear purpose - Empowering people to build a sustainable future. We want to be at the heart of our customers' financial lives by giving them an exceptional experience. That goes for our employees too. We are building a culture that breaks the conventions of what our customer and employees expect of a bank.

We are committed to offering our colleagues choice and flexibility in how we work and live. Our hybrid working model enables our people to balance their time between working from home and their designated office, subject to their role, the needs of our customers and business requirements. More details on our hybrid working arrangements and expected office attendance for your role will be provided to you during the recruitment process.