Credit Risk Modelling

This role involves contributing to the development, implementation, and monitoring of quantitative models to support credit risk measurement and management, with a focus on Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD). The position also includes managing and evolving the Climate Risk Vulnerability framework, assessing portfolio vulnerability to climate risks, and integrating climate risk into credit risk metrics. The role requires collaboration with Risk Management, IT, and Data Management teams to implement risk methodologies and support decision-making.