IRB Modelling Analyst - Credit Risk (Python / SAS)

Responsibilities:

• Develop and maintain IRB models (PD, LGD, EAD, scorecards, and slotting models).
• Perform portfolio segmentation, data analysis, model calibration, and performance monitoring.
• Conduct model validation, backtesting, benchmarking, and stress testing.
• Support Basel III/IV regulatory requirements and risk-weighted asset (RWA) calculations.
• Prepare model documentation, methodology papers, and regulatory submission packs.
• Collaborate with model validation, risk, finance, and regulatory teams.
• Support internal audits, regulatory reviews, and governance committees.
• Implement model enhancements and ensure compliance with model risk management standards.

Requirements:

• Strong understanding of Basel II/III/IV and IRB regulations.
• Experience in PD, LGD, EAD, and IFRS9 modeling.
• Hands-on expertise in SAS, Python, SQL, or R.
• Knowledge of statistical techniques such as logistic regression, GLM, and model calibration.
• Experience with model governance, validation, and regulatory reporting.
• Excellent stakeholder management and communication skills.