Credit Risk Modeler

The Credit Risk Model Validation team validates the models employed for managing the credit risks associated with leasing activities of Ford cars. The scope of this validation team includes a variety of models (PD, LGD, EAD), application and collection scorecard models for different product types. The validator in this team has a key role of:

• assessing the quality of the data used for the development of the model;
• examining the correctness of the methodology and assumptions;
• challenging the correctness of the implementation of the model;
• forming independent opinion on the model's performance;
• ensuring involvement of all the relevant parties in the development process;
• assessing the compliance of the model with respect to internal and external regulations;
• checking the final implementation of the model in the production environment; The team examines, verifies and challenges various modelling techniques scaling from logistic regressions and time-series analysis to Monte-Carlo simulations and machine learning techniques. The validators often employ those for building challenger models as an alternative to the methods proposed by Modelling. By analyzing the key components of the model the validator identify issues, proposes improvement opportunities, identifies the model risk and shares the result with relevant parties. The team creates high quality validation reports and provides them to the senior management as well as to other key stakeholders.
  
  

Performs independent validations on statistical and financial models across different business-area models from areas of finance, treasury, applications, loss forecast, risk, and collections

• Writes and presents model validation reports and provides value-added recommendations to model owners and developers.
• Queries data from multiple sources and platforms (SAS, Teradata and others) to find the right information for the problems.
• Interprets model-validation test results and establishes required action plans with model owners and developers.
• Maintains and enhances the enterprise-wide model inventory. Maintains working papers and records of model-validation results.
• Reads model documentation, researches modeling methodology and framework, and digs deeply into data, asks the right question to learn about the modeling process and techniques, identifies model limitations, and recommends future action.
• Builds benchmark models when necessary, using the best-practice approach in the appropriate areas.
  
  

Skills/Knowledge/Experience Required

Masters degree in a quantitative discipline, e.g. finance, mathematics, statistics, econometrics, operations research or similar. A PhD and/or additional qualification (e.g. FRM, CFA, CQF certificates, or second Master degree in economics, finance or similar) is desirable.

• 3+ years of experience in developing, testing, implementing, and validating models in financial services industry. Expert in modelling approaches to PD, LGD and related credit risk concepts.
• IFRS9 validation models assessment
• Full professional proficiency of English, capable to influence internal stakeholders.
• Specific knowledge, Expert knowledge, understanding of and experience with credit risk modelling or validation;
• Regulatory requirements for internal models for credit risk (Basel III/IV, IFRS9 technical standards and guidelines)