AVP - Credit Risk Reporting
A top-tier global financial institution is hiring a credit risk modeling analyst to join its risk reporting & data analytics team. This role is ideal for professionals with a strong foundation in IFRS9, CECL, CCAR, and credit risk modeling, looking to deepen their impact in a high-performance, data-driven environment. You will be responsible for the full lifecycle of credit impairment models-from data sourcing and governance to model development, implementation, and performance monitoring. This includes building and validating models that forecast expected credit losses under various economic scenarios, and supporting regulatory submissions and internal strategic planning.
Key Responsibilities:
- Develop, implement, and maintain credit risk models for retail and wholesale portfolios under IFRS9, CECL, and CCAR frameworks.
- Lead the design of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models using advanced statistical and machine learning techniques.
- Perform model performance monitoring, backtesting, and recalibration to ensure ongoing accuracy and compliance.
- Conduct root cause analysis of model underperformance and develop Post Model Adjustments (PMAs) where necessary.
- Partner with data engineering teams to ensure robust data pipelines and governance for model inputs.
- Support scenario-based forecasting of credit losses and impairment provisions for internal planning and regulatory stress testing.
- Prepare technical documentation, model validation packages, and present findings to senior stakeholders and governance committees.
- Stay current with evolving regulatory expectations and ensure models meet internal and external audit standards.
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