We are looking for a highly analytical and experienced Credit Risk Modelling Manager to lead the development, validation, and implementation of credit risk models, including Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD). This role is pivotal in ensuring robust risk quantification and compliance with regulatory frameworks such as Basel III and IFRS 9.
Key Responsibilities
- Lead the design, development, and maintenance of credit risk models (PD, LGD, EAD) across retail and/or wholesale portfolios.
- Oversee model validation, back-testing, and performance monitoring to ensure accuracy, reliability, and regulatory compliance.
- Collaborate with cross-functional teams to integrate models into risk management systems and decision-making processes.
- Stay abreast of emerging trends in AI/machine learning and climate risk, with the ability to incorporate these into modelling approaches where relevant.
Requirements
- Minimum 5 years of hands-on experience in credit risk modelling, preferably within banking or consulting environments.
- Strong technical proficiency; coding skills in Python are a significant advantage.
- Solid understanding of regulatory requirements and risk management principles.
- Excellent communication skills, with the ability to convey complex concepts to both technical and non-technical stakeholders.
