Model Developer - Credit Risk Regulatory Modelling
Core
Develop, maintain, and monitor regulatory credit risk models to calculate Regulatory Credit Capital under Basel regulations and Loan Loss Provisions under IFRS 9.
Role type
Model Developer (Credit Risk Regulatory Modelling)
Builds
Production credit risk models (PD, LGD, EAD, IFRS 9) for capital calculation and provisioning
Domain
Banking / Credit Risk / Regulatory Compliance
Deliverable
production ML models
Required skills
Credit risk modelling, IRB framework, IFRS 9 framework, quantitative analysis, statistical programming (SAS), model lifecycle management, regulatory reporting
Preferred skills
None stated
Technologies
SAS
Responsibilities
Develop and maintain credit risk models; Perform quantitative analyses to translate regulatory requirements into modelling solutions; Support model implementation and validation; Prepare high-quality analyses and reports for senior management, Model Validation, Audit, and regulatory authorities; Collaborate with stakeholders across Risk, Finance, and Business teams; Participate in discussions with internal/external auditors, Model Validation teams, and the European Central Bank
Seniority
Mid-level IC