Risk Modelling Senior Consultant
Core
Developing and validating credit risk models (IFRS 9, PD/LGD/EAD) and providing quantitative support for regulatory projects for banks and financial institutions.
Role type
Senior IC quantitative risk modeller (credit risk)
Builds
Production credit risk scoring models and IFRS 9 methodologies
Domain
Banking / Financial Services / Credit Risk
Deliverable
production ML models
Required skills
Credit risk modelling techniques, IFRS 9 methodology, SAS, R, Python, Data transformation, Model validation, Regulatory knowledge (Basel, CECL)
Preferred skills
Team coordination, Client relationship management, Portfolio quality reporting
Technologies
SAS, R, Python
Responsibilities
Develop and document IFRS 9 methodologies and models, Carry out model validation or performance assessment, Review and provide guidance on credit risk governance, Respond to ad-hoc analysis requests, Ensure and elaborate reports on portfolio quality, Coordinate, coach and train team members
Seniority
Senior, hands-on IC with team leadership