Credit Risk Modeller

Definition

A Credit Risk Modeller is an individual developing models and tools for the assessment and management of Credit Risk.

• Credt risk modelling activity is a subset of Quantitative Risk Management.
• A credit risk modeller is a specialized type of Model Developer

Specializations

Credit risk modellers will typically have a specialization linked to the particular type of Credit Portfolio they work with as this determines

• Retail models addressing individuals (physical persons as opposed to companies). A more specific term is Credit Scoring Modeller
• SME Lending addressing small and medium sized companies
• Corporate Lending models

Roles and Responsibilities

• Gathering Business Requirements around Credit Risk Models
• Credit Model Development
• Credit Model Validation
• Credit Model Deployment
• Credit Model Monitoring

Skills

Description of the abilities, proficiencies, know-hows, skills the a person must possess in order to carry out the risk management responsibilities

• Business Skills
• Technical Skills
• General Skills (Linguistic)

Seniority Level

Indication as to whether the function is formally segmented into seniority levels (e.g. junior, senior) that have material skill / experience requirements and are not simply organizational arrangements.

Experience

Experience denotes the intangible qualities acquired by a person in the process of having performed certain functions in the past

• Required experience in related business models
• General work experience

Education

Education denotes any formal and long duration training that is considered an important prerequisite for a role

• Educational level, e.g., university or college degree
• Subject matter of studies / Specialization
• Educational institution

Qualifications

Qualifications are formal certifications that a person fulfills some professional requirements

• Certifications
• Accreditations
• Admittance to professional societies etc.