Credit Risk Model Developer (IRB & IFRS9)
Core
Design and enhance regulatory and accounting risk models (PD, LGD, EAD) for retail banking portfolios under IRB and IFRS9 frameworks.
Role type
Senior IC credit risk model developer (IRB & IFRS9)
Builds
AIRB and IFRS9 risk parameter models for Mortgage and Consumer Lending portfolios
Domain
Banking / Credit Risk / Regulatory Compliance
Deliverable
production ML models
Required skills
IRB/IFRS9 methodologies, PD/LGD/EAD modeling, regulatory compliance (ECB/EBA), quantitative risk modeling, data management tools (SAS, Python, MATLAB)
Preferred skills
Mortgage and Consumer Lending portfolio knowledge, interaction with Validation/Audit/regulators
Technologies
SAS, Python, MATLAB
Responsibilities
Lead development and maintenance of AIRB and IFRS9 models; ensure compliance with ECB/EBA requirements; monitor model performance via backtesting; execute action plans for validation findings; support production deployment; conduct impact and sensitivity analyses; prepare reports for senior management.
Seniority
Senior, hands-on IC
