Senior Credit Risk Modelling Consultant
Core
Senior advisor supporting financial services organizations on credit risk quantification, regulatory compliance (Basel, IFRS 9), and model development/validation.
Role type
Senior IC credit risk modelling consultant
Builds
Capital requirement calculations, IRB models, credit VaR, pricing models, early warning systems, and collection models
Domain
Financial services / Credit risk quantification and regulatory compliance
Deliverable
production ML models | dashboards & analysis
Required skills
Credit risk quantification, IRB modelling, Basel IV/CRR/CRD IV/IFRS 9 knowledge, Python/R/SAS programming, regulatory framework knowledge
Preferred skills
Non-regulatory modelling, PhD in quantitative fields
Technologies
Python, R, SAS
Responsibilities
Develop and validate PD, LGD, and EAD models; Provide consultancy on regulatory developments and model audit; Prepare proposals for end-to-end risk solutions; Monitor new regulations and market impacts; Collaborate on cross-functional advisory projects
Seniority
Senior, hands-on IC