1. Internal Rating Model Development
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Design, develop, calibrate, and validate:
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Corporate Rating Models (A-Card)
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Retail/SME Scorecards (B-Card)
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Define rating methodologies and risk segmentation.
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Establish rating scales, score-to-grade mapping, and overrides.
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Assess discriminatory power and model stability.
2. Credit Risk Parameter Modelling
Develop and maintain:
Probability of Default (PD)
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Through-the-Cycle (TTC) PD models
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Point-in-Time (PIT) PD models
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Migration and transition matrix models
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Vintage and cohort analysis
Loss Given Default (LGD)
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Workout LGD models
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Downturn LGD estimation
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Recovery rate modelling
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Collateral effectiveness assessment
Exposure at Default (EAD)
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Credit Conversion Factor (CCF) models
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Utilization and drawdown models
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Exposure forecasting methodologies
3. Early Warning System (EWS)
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Define risk indicators and trigger frameworks.
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Develop predictive models for deterioration detection.
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Create customer-level risk monitoring frameworks.
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Assess EWS effectiveness and false-positive rates.
4. Concentration Risk Management
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Measure:
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Single obligor concentration
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Industry concentration
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Geographic concentration
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Product concentration
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Develop concentration risk metrics and dashboards.
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Support ICAAP and economic capital assessments.
5. Credit Risk Limit Management
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Define portfolio and counterparty risk limits.
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Develop limit utilization monitoring frameworks.
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Support risk appetite implementation.
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Produce management and regulatory reports.
6. Credit Stress Testing
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Design macroeconomic stress testing frameworks.
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Develop stressed PD, LGD, and EAD methodologies.
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Build scenario-based portfolio impact models.
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Support ICAAP and regulatory stress testing exercises.
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Quantify impacts on:
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Capital
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Provisioning
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Profitability
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Risk-weighted assets (RWA)
7. Model Validation & Governance
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Perform:
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Back-testing
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Benchmarking
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Sensitivity analysis
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Stability testing
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Override analysis
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Prepare model documentation.
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Participate in model governance committees.
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Address regulatory and audit findings.
Requirements
Required Skills
Risk Management
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Basel II / Basel III / Basel IV
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IFRS 9
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ICAAP
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Stress Testing
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Credit Portfolio Risk Management
Statistical Modelling
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Logistic Regression
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Survival Analysis
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Decision Trees
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Machine Learning techniques
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Time Series Analysis
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Model Calibration Techniques
Technical Skills
Preferred Platform Experience
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OFSAA Risk Management Suite
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SAS Credit Risk Solutions
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Moody's Analytics
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FIS Risk Solutions
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Experian Credit Risk Platforms
Experience
Minimum
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8+ years in Credit Risk Modelling
Preferred
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Experience building or validating:
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PD Models
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LGD Models
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EAD Models
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Internal Rating Models
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Stress Testing Models
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Banking domain experience in:
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Corporate Banking
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Retail Banking
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SME Banking
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Regulatory interaction experience
