Credit Risk Modelling Expert

Overview

Credit Risk Models Expert

Responsibilities

• Lead the design and execution of model testing strategies for PD, LGD, and EAD models across retail, SME, and corporate portfolios.
• Build and manage a testing framework including input validation, model recalculation, performance tracking, stress testing, and documentation.
• Collaborate with model developers, business teams, auditors, and regulators to ensure transparency and alignment with risk and capital objectives.
• Interpret model outputs and translate complex statistical results into business-friendly insights and recommendations.
• Review and sign off on model validation reports and model performance dashboards.
• Support internal and external audits (e.g., SARB, internal audit, regulators) with detailed technical documentation and evidence.
• Ensure ongoing compliance with Basel AIRB, IFRS 9, and ICAAP requirements.
• Stay updated with regulatory changes, industry trends, and best practices in risk modeling.
• Conduct peer reviews, mentoring, and training to upskill team members in model testing and validation.

Qualifications

• Certification in FRM/PRM/CQF is a plus.
• Experience with data governance, risk data aggregation (BCBS 239).
• Familiarity with machine learning techniques in credit modeling is desirable but not mandatory.

Essential skills

Expertise in Credit Risk Models

Desired skills

• Master’s degree or PhD in Statistics, Econometrics, Quantitative Finance, Mathematics, or related field.
• 15+ years of experience in credit risk model development, validation, or audit within a banking or consulting environment.
• Deep knowledge of Basel II/III, IFRS 9, IRB models, and capital adequacy frameworks.
• Proficiency in model validation methodologies (discriminatory power, calibration, backtesting, sensitivity analysis).
• Hands-on expertise in Python, R, SAS, SQL, and/or model risk management platforms (e.g., Moody’s RiskAuthority, SAS IRM).
• Strong understanding of banking products and exposure types: loans, overdrafts, credit cards, guarantees, etc.
• Proven experience in regulatory and stakeholder engagement.
• Excellent analytical, leadership, and communication skills.

Experience

15+ years