Credit Risk Model Developer
Core
Design, develop, and enhance IFRS 9 impairment models for retail portfolios, estimating Expected Credit Losses (ECL) including PD, LGD, and EAD under forward-looking accounting frameworks.
Role type
Senior IC credit risk model developer (IFRS 9)
Builds
Production credit risk models and ECL estimates for retail banking
Domain
Banking / Financial Services / Regulatory Accounting (IFRS 9)
Deliverable
production ML models
Required skills
IFRS 9 methodology, ECL modeling, time-series analysis, forecasting, SAS, macroeconomic scenario analysis
Preferred skills
Retail portfolio experience, IRB framework knowledge, model validation interaction
Technologies
SAS
Responsibilities
Develop and maintain IFRS 9 models across project phases; Design and calibrate point-in-time risk parameters and macroeconomic overlays; Monitor model performance via backtesting and sensitivity analysis; Define remediation plans for audit/validation findings; Support model implementation and production deployment; Conduct impact analyses for model changes and regulatory updates; Prepare reporting on ECL dynamics and risk drivers for senior management.
Seniority
Senior, hands-on IC
