Zsolt Jaczko Email & Phone Number

United Kingdom

Swindon, Wilts, GB

• Spearheaded delivery of solutions for efficient model development, maintenance, including data quality controls, BCBS 239 compliance, testing and attestation framework, consistent model monitoring and review procedures.
• Championed the creation of a new A-IRB / Basel methodology, a hybrid rating system based on model cyclicality measurements to provide more stable and less volatile capital estimates, and a non-cyclical LGD framework to.
• Drove establishment of the new A-IRB methodological standards and building into the future model development project plans, facilitating a series of EBA consultation paper (roadmap) responses.
• Acquired approval on the new credit card and overdraft model suite to replace existing solutions and improve credit risk measurement and their usage within board risk appetite metrics.
• Introduced improved CRR attestation and annual review process, challenging existing interpretations based on different market practices and industry knowledge.
• Embedded IFRS9 Stage 1 models into an IRB framework and further contributed to the wider modelling community (credit concentration risk/pricing) as a regular invite to the Oversight Committee.

London, GB

• Headed policy gap analysis against market practices and IAS39/IFRS9 accounting standards and facilitate direction of changes with HSBC’s selected external auditors.
• Enabled complete restructuring of implemented models and modernisation of group-wide impairment policies through the first Asia Pacific related impairment methodology and process review.
• Set up a strong group-wide governance and oversight process on impairment allowances and enhanced group policy regulating modelling methodologies and related standards for accounting standards.
• Led impairment model risk management convergence to the capital model risk management standards before the new IFRS9 models replaced the IAS39 standards.
• Project-managed the group-wide IAS39 remediation to enhance existing impairment models, implement the back-testing framework and judgmental reserving process as an extension of the model outputs.
• Enhanced oversight on provisioning model inventory globally and model their risk governance process.

London, GB

• Developed a unified model validation methodology, standards and procedures for retail credit risk models covering decision models, impairment and capital models, pillar 2 stress testing and economic capital models and.
• Established the target operating model for model risk management to meet the OCC model risk management requirements.
• Executed conceptual, applied and challenger validation methodology based on the model risk materiality to help senior management to focus on the main model risk areas.
• Empowered a high-performance team of 30+ highly motivated quantitative analysts to deliver 500+ model risk assessments yearly.
• Influenced regulatory approvals of model changes and initial model implementations by identifying existing model build standard practice weaknesses and recommending remediation plans.
• Accelerated the internal and external trust on the models used by Barclays for risk management and capital calculation.

Vienna, AT

• Provided executive-level leadership for retail risk management across network units in 15 countries, with nine direct reports, training and mentoring staff and guiding RBI group in new business developments and best.
• Oversaw improvement in the credit risk operations concerning the credit lifecycle, including recruitment of staff to facilitate business objectives to align resources and obtain regulatory compliance.
• Led technical model validation and formulation of methodologies as part of overall management framework including guidelines, best practices, and procedures
• Strengthened the macro stress testing, economic capital allocation and model validation processes through expansion of risk management and control toolset, saving 25-30% economic capital within the retail area.
• Devised and implemented several risk management methodologies to optimise groups’ capability to optimize the bank’s regulatory and economic capital.
• Received five A-IRB regulatory approvals (for multiple products) in Central and Eastern Europe.

Budapest, HU

• Build a risk analyst / modeling team (10 people)
• Ensured quantitative readiness for Basel II application through PD, LGD, EAD modeling, stress testing, and risk data mart development.
• Lead the implementation of the Hungarian capital allocation approach.

Budapest, HU

• Oversaw the design and programming of IT infrastructure to standardize data maintenance, portfolio analysis, monitoring methods and support data driven decision making.
• Created and maintained reserves models and adapted group stress testing for mortgage portfolios.
• Designed automated overdraft product; updated lending policy.