Credit Risk Modelling Consultant

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
• ...