Risk Modelling Senior Consultant
Core
Develop and validate credit risk models (IFRS 9, PD, LGD, EAD) and provide quantitative support for financial institutions.
Role type
Senior IC quantitative risk modeller
Builds
Credit risk scoring models and IFRS 9 methodologies
Domain
Financial services / Credit risk
Deliverable
production ML models
Required skills
Credit risk modelling, IFRS 9, SAS, R, Python, Data transformation, Model validation, Team coordination
Preferred skills
Retail/Wholesale PD/LGD/EAD experience, Regulatory knowledge (Basel, CECL)
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, Coordinate, coach and train team members, Respond to ad-hoc analysis requests, Ensure and elaborate reports on portfolio quality
Seniority
Senior, hands-on IC with team leadership
