Credit Risk Modelling Consultant

1. Internal Rating Model Development

• Design, develop, calibrate, and validate:
• Corporate Rating Models (A-Card)
• Retail/SME Scorecards (B-Card)
• Define rating methodologies and risk segmentation.
• Establish rating scales, score-to-grade mapping, and overrides.
• Assess discriminatory power and model stability.

2. Credit Risk Parameter Modelling

Develop and maintain:

Probability of Default (PD)

• Through-the-Cycle (TTC) PD models
• Point-in-Time (PIT) PD models
• Migration and transition matrix models
• Vintage and cohort analysis

Loss Given Default (LGD)

• Workout LGD models
• Downturn LGD estimation
• Recovery rate modelling
• Collateral effectiveness assessment

Exposure at Default (EAD)

• Credit Conversion Factor (CCF) models
• Utilization and drawdown models
• Exposure forecasting methodologies

3. Early Warning System (EWS)

• Define risk indicators and trigger frameworks.
• Develop predictive models for deterioration detection.
• Create customer-level risk monitoring frameworks.
• Assess EWS effectiveness and false-positive rates.

4. Concentration Risk Management

• Measure:
• Single obligor concentration
• Industry concentration
• Geographic concentration
• Product concentration
• Develop concentration risk metrics and dashboards.
• Support ICAAP and economic capital assessments.

5. Credit Risk Limit Management

• Define portfolio and counterparty risk limits.
• Develop limit utilization monitoring frameworks.
• Support risk appetite implementation.
• Produce management and regulatory reports.

6. Credit Stress Testing

• Design macroeconomic stress testing frameworks.
• Develop stressed PD, LGD, and EAD methodologies.
• Build scenario-based portfolio impact models.
• Support ICAAP and regulatory stress testing exercises.
• Quantify impacts on:
• Capital
• Provisioning
• Profitability
• Risk-weighted assets (RWA)

7. Model Validation & Governance

• Perform:
• Back-testing
• Benchmarking
• Sensitivity analysis
• Stability testing
• Override analysis
• Prepare model documentation.
• Participate in model governance committees.
• Address regulatory and audit findings.

Requirements

Required Skills

Risk Management

• Basel II / Basel III / Basel IV
• IFRS 9
• ICAAP
• Stress Testing
• Credit Portfolio Risk Management

Statistical Modelling

• Logistic Regression
• Survival Analysis
• Decision Trees
• Machine Learning techniques
• Time Series Analysis
• Model Calibration Techniques

Technical Skills

• Python
• SQL
• Excel/VBA

Preferred Platform Experience

• OFSAA Risk Management Suite
• SAS Credit Risk Solutions
• Moody's Analytics
• FIS Risk Solutions
• Experian Credit Risk Platforms

Experience

Minimum

• 8+ years in Credit Risk Modelling

Preferred

• Experience building or validating:
• PD Models
• LGD Models
• EAD Models
• Internal Rating Models
• ...