Credit Risk Model Monitoring Expert Lead
Core
Lead expert for developing and monitoring Internal Ratings-Based (IRB) and IFRS9 credit risk models and tools.
Role type
Senior IC credit risk model monitoring expert (lead)
Builds
IRB/IFRS9 model monitoring tools, Early Warning Signals platform for backtesting
Domain
Banking / Financial Risk / Credit Risk
Deliverable
production ML models
Required skills
statistical inference, econometric methods, statistical programming, IFRS9/IRB implementation, model lifecycle management, UAT, bug fixes, methodology development
Preferred skills
senior management advisory, software development best practices (release management, version control, testing, issue tracking), FRM/PRM/CFA/CQF certification
Technologies
statistical programming, model monitoring tools, Early Warning Signals platform
Responsibilities
Shape IRB/IFRS9 model life cycle management strategy, oversee and review model monitoring, support development of monitoring internal tools, contribute to Early Warning Signals platform development, collaborate with Model Validation Unit, develop IFRS9/IRB modelling methodology, translate methodology into functional specifications
Seniority
Senior, hands-on IC with leadership responsibilities
