[Hiring] Credit Risk Modelling Consultant @Unison Group

Role Description

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

Qualifications

• 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
• Stress Testing Models
• Banking domain experience in:
• Corporate Banking
• Retail Banking
• SME Banking
• Regulatory interaction experience