Leadership role in IRB Credit Modelling

Key responsibilities

• Develop PD, LGD, and EAD models and provide support in the development of credit models, resolve any ad hoc model-related issues that may arise.
• Research, design, and implement best practice methodologies to quantify credit risk in accordance with Basel 3.1 IRB methodology and PRA Supervisory requirements.
• Scope model requirements, review data, analyze portfolios, engage key stakeholders, and create comprehensive model documentation.
• Guide models through the internal governance process for approval and support their successful implementation.
• Conduct annual reviews of models, assess model performance, calibrate and back-test models, and provide analysis on model outcomes.