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Model Development- Quantitative Risk Analyst

Date: 07-Jul-2019

Location: Dublin, IE, IE

Company: Allied Irish Bank

Role: Risk Model Development Analyst

Location:  Burlington Road


Model Development is accountable for the design and delivery of credit risk measurement models.  These models are used within AIB Group to drive borrower credit grading and support the determination of the regulatory capital requirements. This includes:


We’re looking for someone who:

  • Development of behavioural models to support business decision making and estimation of regulatory capital. This includes but is not limited to: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models
  • Performing segmentation analysis and calibration of models
  • Defining the standards and methodologies required to deliver these models
  • Extracting, transforming, and cleaning the data required for modelling
  • Engaging with customer facing Business to understand how our models can support their decision making
  • Engaging with regulatory bodies as part of the on-going cycle of regulatory review of our models


Who we are?

The Risk Analytics Department is a central function within AIB with the remit to develop strong credit 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 decisions, a safe lending and borrowing environment, and efficient use of our shareholders’ capital with sustainable returns.


Why join us?

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.


Desired Experience

  • A bachelor’s degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics
  • 3+ years’ experience developing Probability of Default (PD), Loss Given Default (LGD), or Exposure at Default (EAD) models for IRB - equivalent experience in an alternate modelling type would be considered e.g. macroeconomic forecast models, IFRS9 models
  • Ideally have Advanced level of SAS or SQL programming – an equivalent level in an alternate programming language would be considered (e.g. R, Python, Matlab)
  • Advanced experience in extracting, transforming, and cleaning data for modelling purposes
  • Experience writing technical documents that meet internal and regulatory standards
  • Experience in engagement with regulatory bodies
  • Experience training and managing the day to day tasks of junior team members


What’s next?

If you meet the minimum criteria and would be interested in this exciting opportunity please click apply and complete the online application. If you require further information on this role contact Noelle Ryan from the Talent Acquisition Team, email


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