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Unison Group New Zealand

Credit Risk Modelling Consultant

Unison Group New Zealand
India
8-10 Years
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  • Posted 22 hours ago
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Job Description

  • 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
  • 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
  • Utilization and drawdown models
  • Exposure forecasting methodologies
  • Early Warning System (EWS)
  • Define risk indicators and trigger frameworks
  • Develop predictive models for deterioration detection
  • Create customer-level risk monitoring frameworks
  • Assess EWS effectiveness and false-positive rates
  • Concentration Risk Management
  • Measure:
    • Single obligor concentration
    • Industry concentration
    • Geographic concentration
    • Product concentration
  • Develop concentration risk metrics and dashboards
  • Support ICAAP and economic capital assessments
  • Credit Risk Limit Management
  • Define portfolio and counterparty risk limits
  • Develop limit utilization monitoring frameworks
  • Support risk appetite implementation
  • Produce management and regulatory reports
  • Credit Stress Testing
  • Design macroeconomic stress testing frameworks
  • Develop stressed PD, LGD, and EAD methodologies
  • Build scenario-based portfolio impact models
  • Support ICAAP and regulatory stress testing exercises
  • Quantify impacts on:
    • Capital
    • Provisioning
    • Profitability
    • Risk-weighted assets (RWA)
  • Model Validation & Governance
  • Perform:
    • Back-testing
    • Benchmarking
    • Sensitivity analysis
    • Stability testing
    • Override analysis
  • Prepare model documentation
  • Participate in model governance committees
  • Address regulatory and audit findings

Requirements

Required Skills

Risk Management

  • Basel II / Basel III / Basel IV
  • IFRS 9
  • ICAAP
  • Stress Testing
  • Credit Portfolio Risk Management

Statistical Modelling

  • Logistic Regression
  • Survival Analysis
  • Decision Trees
  • Machine Learning techniques
  • Time Series Analysis
  • Model Calibration Techniques

Technical Skills

  • Python
  • SQL
  • Excel/VBA

Preferred Platform Experience

  • OFSAA Risk Management Suite
  • SAS Credit Risk Solutions
  • Moody's Analytics
  • FIS Risk Solutions
  • Experian Credit Risk Platforms

Experience

Minimum

  • 8+ years in Credit Risk Modelling

Preferred

  • Experience building or validating:
    • PD Models
    • LGD Models
    • EAD Models
    • Internal Rating Models
    • Stress Testing Models
  • Banking domain experience in:
    • Corporate Banking
    • Retail Banking
    • SME Banking
  • Regulatory interaction experience

More Info

Job Type:
Permanent Job
Industry:
Other
Function:
Credit Risk Management
Employment Type:
Full time

Job ID: 148676515

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Last Updated: 03-06-2026 07:20:52 PM
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