Develop, redevelop, and recalibrate IRB credit risk models (PD, LGD, EAD) and conduct annual monitoring exercises
Job Summary
Develop, redevelop, and recalibrate IRB credit risk models (PD, LGD, EAD) and conduct annual monitoring exercises.
Prepare and maintain high-quality model documentation for internal governance, validation, and regulatory review, addressing findings from audits and regulators.
This role offers exposure to senior risk stakeholders and regulatory interactions within a technically focused, international, and dynamic team.
Matching Summary
Develop, redevelop, and recalibrate IRB credit risk models (PD, LGD, EAD) and conduct annual monitoring exercises.
Skills & Requirements
Must-have
IRB credit risk models
model development and monitoring
data analysis for models
model documentation
regulatory frameworks and expectations
statistical and quantitative skills
SQL, SAS, or similar modelling tools
Nice-to-have
model validation experience
regulatory on-site inspections
multi-portfolio IRB environments
methodological or policy changes
Key Requirements
Master’s degree or PhD in a quantitative field
Experience in credit risk modelling
Hands-on experience with IRB models
Understanding of IRB regulatory frameworks
Familiarity with EBA / ECB guidelines
Experience with large, complex datasets
Ability to explain technical topics to non-technical stakeholders