Quantitative Analyst - Prudential Inspector
Current- Involved in Internal Model Investigations (IMI) for credit risk within banks (PD/LGD/EAD)- Involved in On-Site Inspections (OSI) on IFRS9 models- Contribution to the development of a Machine Learning tool to challenge the variables included in banks IRB models (presented at the ECB Supervisors Innovator Conference)- Contribution to the development of the.