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Applicants must have experience in the following: Assessment of Credit risk models (for PD, LGD and CCF) accuracy and performance through bench-marking to best practice and gap analysis towards regulatory requirements and supervisory expectations Development of PD, LGD and CCF Credit risk models including data quality analysis, creation of development samples, univariate and multivariate regressions, definition of rating distribution and calibration, implementation and model use within credit strategy, origination and monitoring processes Validation of PD, LGD and CCF Credit risk models both in the context of first validations and periodic cycle, and Internal Audit support –methodological review vs. regulatory requirements and best practices, quantitative tests on representativeness, performance, PD correctness, use test in credit and business processes, preparation of validation/Internal Audit reports and management of remedial actions with development function and Internal Audit Support in definition of strategy for IRB application and actual submission/roll-out –e.g. definition of PPU, roll-out plans, regulatory reporting for coverage ratio and parallel running, preparation of application material for the supervisor Definition of model management frameworks –e.g. governance and processes for models lifecycle management, methodological standards for both development and validation, definition of model documentation templates, identifying IT instruments and tools for model workflows RWA analysis, aiming to identify the impact of changes in the parameters (segmentation, PD, LGD, CCF, process, rating validity criteria) both under the current CRR framework and new incoming Basel IV (i.e. Basel IV: sovereign treatment, "New Standardised" and Low Default Portfolios. Previous Consulting industry experience highly preferable.
Internal Number: 4612550
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