Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards
Job Summary
Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
Conduct thorough validation of model performance, including PD, LGD, and EAD models, and carry out portfolio stress testing to assess model robustness against adverse economic conditions.
Implement Basel/IFRS9 models, manage the scoring and capital computation engines, oversee the analytics datamart, conduct User Acceptance Testing (UAT), and support the overall deployment of models.
Matching Summary
Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
Skills & Requirements
Must-have
Develop and enhance PD, LGD, EAD models
Conduct model validation and stress testing
Generate and analyze portfolio risk reports
Provide credit risk advice to stakeholders
Implement Basel/IFRS9 models and engines
Advanced data analysis and modeling
Python, R, SQL, MS Office skills
Nice-to-have
Emerging technologies like GenAI
Core banking knowledge
FRM or CFA certification
People management experience
Key Requirements
3-6 years of working experience in credit risk modeling
Undergraduate degree in a quantitative program
Experience for models development and/or validation for Corporate and Retail