Senior Credit Risk Modelling Analyst
Core
Develop, implement, and monitor credit risk models (PD, LGD, EAD) for IFRS9 compliance and statistical forward-looking analysis.
Role type
Senior Credit Risk Modelling Analyst
Builds
Production credit risk models and regulatory compliance reports
Domain
Banking / Credit Risk / Regulatory Compliance
Deliverable
production ML models
Required skills
SAS programming, statistical theory, data analysis, IFRS9 modeling, model back-testing, parameter estimation, regulatory compliance assessment
Preferred skills
Python or R, machine learning techniques (Gradient Boosting, Random Forests, Neural Networks), external audit experience
Technologies
SAS, Python, R
Responsibilities
Support end-to-end development and implementation of credit risk models; conduct back testing for IFRS9 and statistical forward-looking models; monitor model performance and implement data quality controls; prepare model documentation and performance reports for senior management and regulators; assess compliance with EBA and PRA regulations.
Seniority
Senior, hands-on IC