Chargé de modélisation Probabilité de défaut (PD) IRB Retail - Risques - La Defense, Ile de France, France
Core
Develop, review, and maintain regulatory credit risk models for the retail portfolio, specifically focusing on recalibrating Probability of Default (PD) within the IRB framework.
Role type
Junior quantitative risk modeler (IRB Retail)
Builds
Regulatory capital models and PD calibration frameworks for retail banking
Domain
Banking / Credit Risk / Regulatory Compliance
Deliverable
production ML models
Required skills
R, Python, statistical modeling, database manipulation
Preferred skills
Engineering school background, Master's in Statistics/Mathematics/CS
Technologies
R, Python
Responsibilities
Analyze prudence criteria for retail PD models, evaluate the impact of recalibration approaches on regulatory capital, assess result robustness across portfolio segments, document and present findings to the team.
