Probability of default (pd), loss given default (lgd), exposure at default (ead) models
Model validation and portfolio stress testing
Credit risk reporting and analysis
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.
Stay abreast of emerging technologies, including cloud computing and Generative AI (GenAI), and explore their potential applications within the organization to optimize operations and drive innovation in risk management practices.
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
Probability of Default (PD), Loss Given Default (LGD), Exposure At Default (EAD) models
Model validation and portfolio stress testing
Credit risk reporting and analysis
Basel II and IFRS 9 standards
Python, R, SQL, VBA
Nice-to-have
Emerging technologies (cloud, GenAI)
Core banking knowledge
People management experience
FRM or CFA certification
Key Requirements
3-6 years of working experience in credit risk modeling
Undergraduate degree in a quantitative program
Experience with model development and/or validation for Corporate and Retail