IRB Senior Quantitative Analyst

IRB Senior Quantitative Analyst, Dublin

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Date: 22 Mar 2024

Location: Dublin, IE, IE

Company: Allied Irish Bank

Role:IRB Senior Quantitative Analyst

Location: Molesworth Street, Dublin (Hybrid)

This role is being offered on a permanent, full-time basis.

About the Role:

Risk Analytics are a group of professional quantitative analysts, operating within the wider Risk function in AIB, who provide quantitative risk & financial analysis and analytical expertise to business partners to help understand underlying risks in Credit portfolios. This covers a wide range of asset classes between Retail & Non-Retail borrowers, from the smallest personal customer to the largest international banks & governments.

As an advanced analytics team, we are passionate about driving insight and value from data. The team works across a spectrum of activities including data mining, visual analytics, time series modelling, regression modelling, machine learning, and pattern recognition. We value innovation and creativity, and this role presents a great opportunity for any analyst who has the capability to approach a business problem in an innovative way, identify and build a great solution, and communicate the outputs of that work across the business.

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.

The core activities within the department include, but are not limited to:

• Development of IRB models to support the estimation of regulatory capital.
• Development of IFRS9 Models to support estimation of Expected Credit Losses. Analysis of the model outputs and support for the Business in understanding same.
• Development of models to support Credit and Climate Stress testing plus the delivery of stress tests, e.g., ICAAP.
• Development of models to estimate Economic Capital and support for RAROC.
• Development predictive models and credit strategies to determine customer risk profiles, which are then used to automate credit decisions for the Bank’s customers.
• Tracking the performance of credit models to ensure they continue to operate as expected.
• Development of IRB models. This includes but is not limited to: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models.
• Develop credit decisioning strategies to support the automation of Retail and non-Retail credit decisions throughout the credit lifecycle.
• 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.

Key Responsibilities Include:

• 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.

What you will bring:

Life at AIB

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.

AIB is an equal opportunities employer, and we pride ourselves on being the first bank in Ireland to receive the Investors in Diversity Gold Standard accreditation from the Irish Centre for Diversity. We celebrate diversity and believe in a culture of inclusion where all our employees can succeed. We welcome applications from people of diverse backgrounds and abilities. We are committed to providing reasonable accommodations for applicants and employees. Should you have a reasonable accommodation request please email the Talent Acquisition team at careers@aib.ie.

If you feel you have what it takes, click apply and fill in the online application form. If you would like more information please contact the Talent Acquisition Team at careers@aib.ie

By when? Closing date is 7th April 2024

Disclaimer:

Unsolicited CV’s sent to AIB by Recruitment Agencies will not be accepted for this position. AIB operates a direct sourcing model and where agency assistance is required, the Talent Acquisition team will engage directly with our recruitment partners.

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