Former NSW premier Mike Baird hasn't ruled out running for the top job at NAB, following the resignation of chief executive Andrew Thorburn.

Mr Thorburn and chairman Ken Henry announced they were stepping down on Thursday after a scathing critique by the financial services royal commission.

Mr Baird, NAB's head of retail banking, said he was "very proud" of what the outgoing boss had done as a leader - labeling him an "incredible person".