The Function Purpose
Develop, validate and maintain credit risk models that support the bank’s risk management and decision-making process.
Main Responsibilities
- Develop predictive models to quantify credit risk.
- Develop and implement credit risk models (e.g., PD, LGD, EAD models) using statistical.
- Collaborate with data teams to enhance data quality and availability.
- Drive automation of credit risk reporting and model monitoring processes.
- Implement and support credit rating system.
- Analyze large datasets to identify risk patterns, trends, and anomalies impacting credit risk.
- Validate and back-test models to ensure accuracy, compliance, and robustness.
- Support credit portfolio management with scenario analysis, stress testing, and risk forecasting.
- Continuously improve modeling methodologies by leveraging new data sources and technologies.
Background
- Bachelor's degree.
- 2 years+ of relevant experience.
