Credit Risk Model Developer - IRB Modelling - Banking & Financial Services

Role Overview:

Are you an experienced Credit Risk Model Developer with expertise in IRB (Internal Ratings-Based) Modelling and wholesale credit risk portfolios? We are looking for a skilled professional to develop, calibrate, and implement advanced credit risk models while supporting regulatory compliance under the Basel IRB framework.

Responsibilities:

- Develop and enhance Probability of Default (PD) models in compliance with IRB regulatory standards.

- Perform data extraction, data preparation, preprocessing, and statistical analysis using Python, R, and SQL.

- Design, build, calibrate, validate, and implement robust credit risk models across wholesale/LDP portfolios.

- Perform User Acceptance Testing (UAT) and support successful model implementation.

- Collaborate with cross-functional stakeholders to analyze, interpret, and communicate model outputs and business insights.

- Prepare technical documentation including Model Documentation, Business Requirement Documents (BRDs), Validation Reports, and Regulatory Compliance Documentation.

- Identify model enhancement opportunities and implement advanced modelling techniques to improve predictive accuracy and model performance.

- Ensure adherence to Basel regulations and IRB capital modelling requirements.

Requirements:

- Bachelor's or Master's degree in Statistics, Mathematics, Economics, Finance, Engineering, or a related quantitative discipline.

- 5+ years of hands-on experience in Credit Risk Model Development.

- Strong experience in IRB Model Development for Wholesale/LDP credit portfolios.

- Expertise in PD, LGD, and EAD model development.

- Strong programming skills in Python, R, SQL, and preferably SAS.

- Strong understanding of Basel regulations and the IRB regulatory framework.

- Experience in statistical modelling, data preprocessing, and machine learning techniques.

- Excellent analytical, problem-solving, communication, and stakeholder management skills.

What is in it for you:

- Opportunity to work on large-scale credit risk modelling and regulatory capital initiatives.

- Exposure to advanced statistical modelling, machine learning, and Basel regulatory frameworks.

- High-impact role with strong learning and career progression opportunities.

- Collaborative and performance-driven work environment.