# Credit Risk Modelling Consultant

**Company:** [Unison Group](http://jobs.workable.com/companies/deKpPhPMtQZga7XoPG1tSo.md)
**Location:** Remote
**Workplace:** remote
**Department:** Bharat

[Apply for this job](http://jobs.workable.com/view/bd216959-b6e5-43bb-a97c-0d827197a0ab)

## Description

**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
-   Stress Testing Models

-   Banking domain experience in:

-   Corporate Banking
-   Retail Banking
-   SME Banking

-   Regulatory interaction experience