Senior Credit Risk Consultant/ Credit Risk Analyst (IRB and DoD Expert) (36955)

October 4, 2024

Skillspark AB

Łódź

Start

ASAP

Duration

> 12 months

Project Overview:

We are seeking a Senior Credit Risk Consultant with expertise in the Internal Ratings-Based (IRB) approach and Definition of Default (Do D) frameworks to support a global financial institution in conducting comprehensive audits of retail and non-retail credit models. This is a high-impact role focused on auditing, advising, and supporting credit risk processes in compliance with regulatory standards. The consultant will play a key role in audit planning, testing strategies, and ensuring compliance with international banking regulations.

The project includes:

Review and audit of IRB models (non-retail and retail)
Assessment of credit risk and Do D frameworks
Collaboration with cross-functional teams and stakeholders to ensure robust audit processes
The project will run until June 2025 with opportunities for extension depending on performance and evolving business needs.

Responsibilities:

Serve as a Subject Matter Expert (SME) for IRB credit models, including PD (Probability of Default), LGD (Loss Given Default), and CCF (Credit Conversion Factor) models.
Advise on the audit approach for both retail and non-retail credit risk models, ensuring compliance with regulatory standards such as the ECB.
Conduct desktop reviews of non-retail production models, focusing on model estimates, validation, monitoring, and mitigating actions.
Support the implementation of IRB model audits, including data segmentation, model development, and testing.
Perform audit testing for credit risk models, particularly around credit lifecycle, rating processes, early warning systems, and default management triggers.
Provide guidance on change management processes related to IRB models and perform materiality assessments.
Collaborate with internal teams to ensure data quality, transparency, and adherence to internal capital allocation frameworks (EC, ICAAP).

Requirements:

Minimum 5+ years of experience in credit risk, particularly with IRB models and regulatory audits.
Strong understanding of credit risk lifecycle, including the rating assignment process, segmentation, and human judgment in credit decisions.
Expertise in both retail and non-retail PD and LGD model development, validation, or auditing.
Proven track record in conducting regulatory audits, especially in collaboration with international financial regulators such as the ECB.
Hands-on experience with compliance and governance structures related to IRB models, materiality assessments, and change management.
Excellent communication and stakeholder management skills, with the ability to work across multiple teams and jurisdictions.
Fluent in English; knowledge of other languages is a plus.
Availability for immediate start or within a short timeframe.

Preferred Experience:

In-depth knowledge of SSM regulations and credit risk Internal Model Investigations (IMIs) from either the ECB or bank side.
Experience in audit processes related to Definition of Default (Do D) triggers, contract termination, default monitoring, and default contagion.
Familiarity with Early Warning Systems (EWS), collection, recoveries, and capital allocation frameworks.