CreditRiskModelDeveloper

**The Role** You will join the Model Development Unit within the Retail Credit Risk area, contributing to the design, development, and enhancement of IFRS 9 impairment models for retail portfolios. Specifically, you will be part of the team responsible for estimating Expected Credit Losses (ECL), including PD, LGD, and EAD under forward-looking and accounting frameworks. **Key Responsibilities** • Develop and maintain IFRS 9 models, managing all project phases: initiation, data collection, model design, development, validation interaction, and audit/regulatory engagement when required. • Design and calibrate point-in-time risk parameters and macroeconomic overlays, ensuring proper incorporation of forward-looking information and scenario-based approaches. • Monitor model performance through backtesting, benchmarking, and sensitivity analysis, identifying model weaknesses and implementing enhancements when necessary. • Define and execute remediation plans to address findings from Internal Validation, Audit, and external reviews. • Support model implementation and production deployment, including test strategy definition, UAT execution, reconciliation checks, and issue resolution. • Collaborate with key stakeholders (Finance, Accounting Policy, Risk, IT, Data Management) to ensure alignment between risk models and financial reporting requirements. • Conduct impact analyses related to model changes, macroeconomic scenarios, portfolio evolution, and regulatory/accounting updates. • Perform portfolio monitoring activities, focusing on ECL drivers, staging allocation (Stage 1, 2, 3), and parameter evolution over time. • Prepare reporting and documentation for Senior Management, including model performance, ECL dynamics, and key risk drivers. • Ensure proper model governance and documentation, in line with IFRS 9 standards and internal policies. • Promote best practices in IFRS 9 modeling and forecasting, supporting continuous improvement and knowledge sharing across the o