Credit Risk Modelling Manager

Business Unit: Model Risk Analytics
Salary range: £60,000 - £75,000 per annum DOE + red-hot benefits
Location: UK Flexible (expectation to attend a local HUB 1x per month & attend offsites, 3/4 x per year)
Contract type: Permanent

Be the voice we need. Live a life more Virgin.

Our Team

As an IFRS 9 Modelling Manager you will lead a small team of modellers and data scientists to develop risk and macroeconomic models to forecast the Banks Loan Loss provisions. The remit is wide and covers all types of models within the IFRS 9 Provisioning landscape. This includes exposure to a range of business areas and covers retail and business banking products and customers. The team’s focus is on the development, validation, management and monitoring of our models and providing first class support to our stakeholders across Risk and Finance.

What you’ll be doing

Planning and executing the regular model related IFRS9 BAU processes (quarterly economic model refreshes, PMA calculations)

Developing and implementing IFRS9 credit risk models, in line with stakeholder expectation, Bank standards and regulatory expectation

Liaising with stakeholders in Risk and Finance to set expectation for the delivery of model outputs into BAU processes

Presenting Model outcomes, and propose solutions to overcome model weaknesses, to relevant stakeholders in Risk and Finance as part of the quarterly process

Leading on audit review of Business Banking IFRS9 model outputs

Documenting analytics to support recommendation papers to committees and stakeholders

Proactively support wider teams on topics relating to Business Banking models

Providing leadership in team and wider network discussions across the Bank.

We need you to have

Proven experience leading small teams as part of a IFRS9/Stress Testing modelling process

Demonstrable significant involvement in most components of the Model Lifecycle (Scoping, development, implementation, monitoring)

Confidence in explaining model outcomes to non-technical specialists and an ability to use persuasive arguments to influence key stakeholders

Significant knowledge of a range of Credit Risk Modelling techniques for PD/LGD/EAD (IFRS9/Stress Testing/IRB)

A degree in a numerate discipline subject (e.g. statistics, maths, engineering, econometrics)

A solid foundation in statistical programming languages and data querying (SAS/SQL/Python/R).

It’s a bonus if you have but not essential

Solid knowledge of Business Banking products and lending processes

Experience of working interactions with external auditors and regulators

Experience of mentoring junior team members.

Red Hot Rewards

Generous holidays - 38.5 days annual leave (including bank holidays and prorated if part-time)​ plus the option to buy more.

Up to five extra paid well-being days per year​. 

20 weeks paid, gender-neutral family leave (52 weeks in total) for expectant parents and those looking to adopt. 

Market-leading pension.

Free private medical cover, income protection and life assurance.

Flexible benefits include Cycle to Work, wellness and health assessments, and critical illness. 

And there's no waiting around, you'll enjoy these benefits from day one.

Feeling insatiably curious about this role? If we’re lucky to receive a lot of interest, we may close the advert early and would hate you to miss out.

We're all about helping you Live a Life More Virgin, so happy to talk flexible working with you.

Say hello to Virgin Money
We’re making great strides towards achieving our ambition of becoming the UK’s best digital bank.  As a full-service digital bank with a heritage stretching back over 180 years, we’re a workforce to be reckoned with, and we're putting the full power of our experience behind disruptive ideas that reinvent the role a bank plays in people's lives. We're customer-obsessed and work tirelessly to deliver on our purpose, ‘Making You Happier About Money.’ This means we're able to do banking differently, and by innovating and working together we can make a real difference by creating memorable moments and red-hot experiences for our millions of customers. Join us and Live a Life More Virgin that empowers you with choice and flexibility in how you work. 

Be yourself at Virgin Money
Our purpose is to make people happier about money, this means seeing and feeling the world as our customers do by creating a workforce that reflects the rich diversity of our customers and communities.  We’re committed to creating an inclusive culture where colleagues feel safe and inspired to contribute, speak up and be heard.   

As a Disability Confident Leader, we're committed to removing any obstacles to inclusion.  If you need any reasonable adjustments or support making your application, contact our Talent Acquisition team  

It’s important to note that there may be occasions where it’s not possible to interview all candidates declaring a disability who meet the essential criteria for the job. In certain recruitment situations such as receiving a high-volume of applications, we may need to limit the overall numbers of interviews offered to both disabled and non-disabled applicants. 

Now the legal bit
Living A Life More Virgin allows our colleagues to be based anywhere in the UK (if the role allows it), but we'll need you to confirm you have the right to work in the UK.

If you're successful in securing a role with us, there are some checks you need to complete before starting. These include credit and criminal record checks and three years' worth of satisfactory references. If the role is part of the Senior Manager Regime and Certification Regime, it requires enhanced pre-employment checks – we'll ask for six years of regulatory references, and once in the role, you'll be subject to periodic employment checks