Credit Risk Analyst
CurrentStatistician and IT technician with numerical background in risk analytics and statistical modelling.Part of BPS working team that received from the ECB the authorization for the use of the internal rating system (AIRB) for the measurement of the capital requirements for credit risk.• Development of PD, LGD and EAD models, focused on: - systemic data- balance sheet- qualitative questionnaire - incomes- sectoral reports- influences by group/guarantors- recovery rate- danger rate- defaulted asset / elbe- IFRS9- ESG• Maintainer of rating system in the production environment• Implementation of data quality controls, metrics and associated thresholds• Programming language: R